Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs

DOI10.1007/s10107-016-1029-zzbMath1358.90080OpenAlexW2405594452MaRDI QIDQ517291

Weijun Xie, Yongjia Song, Shabbir Ahmed, James R. Luedtke

Publication date: 23 March 2017

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-016-1029-z

Mathematics Subject Classification ID

Mixed integer programming (90C11) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Numerical methods involving duality (49M29) Stochastic programming (90C15)

Related Items

Decomposition algorithms for optimizing multi-server appointment scheduling with chance constraints, ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs, On the Quantile Cut Closure of Chance-Constrained Problems, Relaxations and approximations of chance constraints under finite distributions, Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization, Chance-Constrained Multiple Bin Packing Problem with an Application to Operating Room Planning, An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems, Multiproduct Newsvendor Problem with Customer-Driven Demand Substitution: A Stochastic Integer Program Perspective, Lagrange dual bound computation for stochastic service network design, Probability maximization via Minkowski functionals: convex representations and tractable resolution, On approximations of data-driven chance constrained programs over Wasserstein balls, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, Bicriteria Approximation of Chance-Constrained Covering Problems, Parallel Scenario Decomposition of Risk-Averse 0-1 Stochastic Programs, On distributionally robust chance constrained programs with Wasserstein distance, Scalable Algorithms for the Sparse Ridge Regression, A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting, Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design, On quantile cuts and their closure for chance constrained optimization problems, Lagrangian relaxation based heuristics for a chance-constrained optimization model of a hybrid solar-battery storage system, Optimization-Driven Scenario Grouping, Scenario Grouping and Decomposition Algorithms for Chance-Constrained Programs, Data-driven tuning for chance constrained optimization: analysis and extensions, Joint chance-constrained programs and the intersection of mixing sets through a submodularity lens, Special issue: Global solution of integer, stochastic and nonconvex optimization problems, Optimized Bonferroni approximations of distributionally robust joint chance constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Decomposition algorithms for two-stage chance-constrained programs
• A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
• Convex proximal bundle methods in depth: a unified analysis for inexact oracles
• Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
• Branch-and-cut approaches for chance-constrained formulations of reliable network design problems
• An integer programming approach for linear programs with probabilistic constraints
• Sample average approximation method for chance constrained programming: Theory and applications
• Dual decomposition in stochastic integer programming
• Duality gaps in nonconvex stochastic optimization
• Uncertain convex programs: randomized solutions and confidence levels
• Regularization methods for optimization problems with probabilistic constraints
• Convex programming for disjunctive convex optimization
• On mixing sets arising in chance-constrained programming
• A scenario decomposition algorithm for 0-1 stochastic programs
• Scalable Heuristics for a Class of Chance-Constrained Stochastic Programs
• A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
• Level bundle methods for oracles with on-demand accuracy
• Chance-Constrained Binary Packing Problems
• Covering Linear Programming with Violations
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• The Probabilistic Set-Covering Problem
• Lectures on Stochastic Programming
• Generalized Linear Programming Solves the Dual
• Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
• A Critical Note on Empirical (Sample Average, Monte Carlo) Approximation of Solutions to Chance Constrained Programs
• The Scenario Approach to Robust Control Design
• Probabilistic Set Covering with Correlations
• A Proximal Bundle Method with Approximate Subgradient Linearizations
• Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
• A geometric study of dual gaps, with applications