Multi-choice probabilistic linear programming problem

Avik Pradhan () and M. P. Biswal ()
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Avik Pradhan: Indian Institute of Technology Kharagpur
M. P. Biswal: Indian Institute of Technology Kharagpur

OPSEARCH, 2017, vol. 54, issue 1, No 7, 122-142

Abstract: Abstract In this paper, we present a linear programming model where the parameter space contains some multi-choice parameters. Alternative choices of multi-choice parameter are considered as random variables. Using interpolating polynomial for each multi-choice parameter, the model has been transformed into a non-linear mixed integer probabilistic programming problem. Then chance constrained programming technique is used to obtain an equivalent deterministic model of the transformed problem. To find the deterministic form of the objective function four different models namely, E-model, V-model, probability maximization model and fractile criterion model are used. Assuming the values of the multi-choice parameters as independent normal random variables, the methodology is presented. A numerical example is also presented to illustrate the methodology.

Keywords: Chance-constrained programming; Multi-choice programming; Linear programming; Probabilistic programming (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s12597-016-0272-7

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