Mathematical programming approaches for generating \(p\)-efficient points

DOI10.1016/j.ejor.2010.05.025zbMath1205.90210OpenAlexW2095564588MaRDI QIDQ992653

Nilay Noyan, Miguel A. Lejeune

Publication date: 9 September 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.05.025

zbMATH Keywords

stochastic programmingouter approximationvalid inequalitiesprobabilistic constraints\(p\)-efficiency

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (22)

Solving joint chance constrained problems using regularization and Benders' decomposition ⋮ Construction of confidence absorbing set for analysis of static stochastic systems ⋮ Probabilistic optimization via approximate \(p\)-efficient points and bundle methods ⋮ Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design ⋮ Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance ⋮ An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems ⋮ Chance constrained unit commitment approximation under stochastic wind energy ⋮ Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs ⋮ Derivatives of probability functions: unions of polyhedra and elliptical distributions ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ A polyhedral study on chance constrained program with random right-hand side ⋮ Pattern definition of the \(p\)-efficiency concept ⋮ Augmented Lagrangian method for probabilistic optimization ⋮ An algorithm for binary linear chance-constrained problems using IIS ⋮ Regularization methods for optimization problems with probabilistic constraints ⋮ Construction of confidence absorbing sets using statistical methods ⋮ On the Convexity of Level-sets of Probability Functions ⋮ Single Commodity Stochastic Network Design Under Probabilistic Constraint with Discrete Random Variables ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ AN IMPROVED CONVEX 0-1 QUADRATIC PROGRAM REFORMULATION FOR CHANCE-CONSTRAINED QUADRATIC KNAPSACK PROBLEMS ⋮ Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets ⋮ Probabilistic modeling of multiperiod service levels

Uses Software

• AMPL
• CPLEX

Cites Work

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