Application of the polyblock method to special integer chance constrained problem

• Autorzy: Bellahcene Fatima

Identyfikatory

DOI

10.37190/ord190402

• Języki publikacji: EN

Abstrakty

EN

The focus in this paper is on a special integer stochastic program with a chance constraint in which, with a given probability, a sum of independent and normally distributed random variables is bounded below. The objective is to maximize the expectation of a linear function of the random variables. The stochastic program is first reduced to an equivalent deterministic integer nonlinear program with monotonic objective and constraints functions. The resulting deterministic problem is solved using the discrete polyblock method which exploits its special structure. A numerical example is included for illustration and comparisons with LINGO, COUENNE, BONMIN and BARON solvers are performed.

Słowa kluczowe

EN

stochastic programming; integer nonlinear programming; monotone optimization; polyblock method

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2019
• Tom: Vol. 29, No. 4
• Strony: 23--40
• Opis fizyczny: Bibliogr. 24 poz., rys.

Twórcy

autor

Bellahcene Fatima

• 1LAROMAD Laboratory, Faculty of Sciences, Mouloud Mammeri University, BP 17 RP, 15000 Tizi- -Ouzou, Algeria

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2020).