Tighter reformulations using classical Dawson and Sankoff bounds for approximating two-stage chance-constrained programs

DOI10.1007/s11590-020-01592-1zbMath1466.90061OpenAlexW3028733243MaRDI QIDQ828647

Bismark Singh

Publication date: 5 May 2021

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-020-01592-1

zbMATH Keywords

stochastic optimizationlinearizationBonferroni inequalitiesfloor functionchance-constrained optimizationunion bounds

Mathematics Subject Classification ID

Stochastic programming (90C15)

Uses Software

• Gurobi

Cites Work

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• Complexity of some graph-based bounds on the probability of a union of events
• Bounding the probability of the union of events by aggregation and disaggregation in linear programs
• Approximating two-stage chance-constrained programs with classical probability bounds
• Probability Bounds with Cherry Trees
• Bonferroni-Type Inequalities via Chordal Graphs
• Inequalities for the probability of the occurrence of at least m out of n events
• Most Stringent Bounds on Aggregated Probabilities of Partially Specified Dependent Probability Systems
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• An Inequality for Probabilities

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