Constructing Sets of Uniformly Tighter Linear Approximations for a Chance Constraint

Yrjö Seppälä
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Yrjö Seppälä: Operaatiotutkimustoimisto Seppäläky, Helsinki, Finland

Management Science, 1971, vol. 17, issue 11, 736-749

Abstract: The aim of this paper is to construct sets of uniformly tighter linear constraints to replace a chance constraint, in order to be able to solve the chance-constrained programming problem by the simplex method. The chance constraints are first diagonalized by a linear orthonormal transformation. Uniformly tighter linear constraints can then be formed to replace the chance constraint. The developed multistage linear programming problem can also be solved using the Dantzig-Wolfe decomposition technique. Approximation errors of our method and one of Hillier's [8] are compared.

Date: 1971
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