Application of the polyblock method to special integer chance constrained problem

Fatima Bellahcene (belfat.ummto@gmail.com)

Operations Research and Decisions, 2019, vol. 29, issue 4, 23-40

Abstract: 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.

Keywords: stochastic programming; integer nonlinear programming; monotone optimization; polyblock method (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ord.pwr.edu.pl/assets/papers_archive/1445%20-%20published.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:4:y:2019:p:23-40:id:1445

DOI: 10.37190/ord190402

Access Statistics for this article

More articles in Operations Research and Decisions from Wroclaw University of Science and Technology, Faculty of Management Contact information at EDIRC.
Bibliographic data for series maintained by Adam Kasperski (adam.kasperski@pwr.edu.pl).