Joint chance constrained shortest path problem with Copula theory (Q2185821)

This paper deals with the linear joint probabilistic constraints problem where dependence among the distribution of the constraint rows is depicted by a relax Archimedean Copula. The proposed model determines the shortest path, with the possibility of transporting goods from the source to the destination, so that an optimal path can be selected finally. Since this is the SPP with exponential complexity, the Lagrangian relaxation method is proposed to solve a large-scale problem so that a lower bound and an upper bound are obtained for every fixed Lagrangian coefficient of the main problem, during the process of the algorithm. The model implemented in this paper is related to the shortest path problem which has more than one indicator for finding an optimal path. The problem presented is generally non-convex and a relaxed approximation is provided to solve the problem. Numerical results are presented to demonstrate an appropriate estimate of the proposed model and for a better examination of the examples, the MOSEK solver is used. The results show that the model developed solves the dependency between resource consumptions and finds a higher probability path. The authors appreciate that: ``It means that the dependency between constraints and the use of the Copula approach for solving dependency gives us better results.''