Using integer programming for balancing return and risk in problems with individual chance constraints

DOI10.1016/j.cor.2014.03.026zbMath1349.90661OpenAlexW2055166306MaRDI QIDQ342012

Siqian Shen

Publication date: 17 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2014.03.026

zbMATH Keywords

minimum cost flowchance-constrained programmingmixed-integer programmingrisk managementnetwork capacity design

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15) Deterministic network models in operations research (90B10)

Related Items (6)

Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization ⋮ Vehicle routing with probabilistic capacity constraints ⋮ Eco-friendly container transshipment route scheduling problem with repacking operations ⋮ Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design ⋮ Building Load Control Using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness

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