Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems

DOI10.1007/s10559-014-9658-9zbMath1308.90117OpenAlexW1974836546MaRDI QIDQ2263338

A. I. Kibzun, A. V. Naumov, Vladimir I. Norkin

Publication date: 18 March 2015

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-014-9658-9

zbMATH Keywords

stochastic programming two-stage problems probabilistic constraints deterministic equivalent discrete programming mixed-integer optimization problems quantile programming

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15)

Related Items (10)

Risk measures in stochastic programming and robust optimization problems ⋮ The decomposition method for two-stage stochastic linear programming problems with quantile criterion ⋮ Two-Stage Stochastic Facility Location Model with Quantile Criterion and Choosing Reliability Level ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ Sample average approximation in a two-stage stochastic linear program with quantile criterion ⋮ Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem ⋮ Convergence conditions for the observed mean method in stochastic programming ⋮ Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion ⋮ General properties of two-stage stochastic programming problems with probabilistic criteria ⋮ Sample approximations of bilevel stochastic programming problems with probabilistic and quantile criteria

Uses Software

CPLEX

Cites Work

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