Relaxations for probabilistically constrained programs with discrete random variables

Review text

The author suggests a new method providing an outer convex approximation of the (generally nonconvex) set of feasible solutions typical for stochastic linear programs with joint probability constraints and random discretely distributed right-hand sides. The relaxed problems are of the form of linear programs and their optimal values serve as bounds for the optimal value of the original stochastic program.

Recommendations

Cites work

Cited in

(43)

Estimated stochastic programs with chance constraints
On the convergence of sample approximations for stochastic programming problems with probabilistic criteria
Relaxations and approximations of chance constraints under finite distributions
A polyhedral study on chance constrained program with random right-hand side
A polyhedral study of the static probabilistic lot-sizing problem
Convergence conditions for the observed mean method in stochastic programming
Bounds for probabilistic integer programming problems
Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
Regularization methods for optimization problems with probabilistic constraints
An exact approach for solving integer problems under probabilistic constraints with random technology matrix
Bounds for probabilistic programming with application to a blend planning problem
Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs
Relaxation schemes for the joint linear chance constraint based on probability inequalities
Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
General properties of two-stage stochastic programming problems with probabilistic criteria
On mixing sets arising in chance-constrained programming
Genetic algorithm based technique for solving chance constrained problems
Beam search heuristic to solve stochastic integer problems under probabilistic constraints
A branch-reduce-cut algorithm for the global optimization of probabilistically constrained linear programs
The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification
Convex relaxations of non-convex mixed integer quadratically constrained programs: Extended formulations
Chance constrained unit commitment approximation under stochastic wind energy
Solving chance-constrained optimization problems with stochastic quadratic inequalities
An improved convex 0-1 quadratic program reformulation for chance-constrained quadratic knapsack problems
On the mixing set with a knapsack constraint
Decomposition algorithms for two-stage chance-constrained programs
scientific article; zbMATH DE number 433035 (Why is no real title available?)
Disjunctive Cuts for Non-convex Mixed Integer Quadratically Constrained Programs
Mixed integer linear programming formulations for probabilistic constraints
On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
A branch and bound method for stochastic integer problems under probabilistic constraints
Chance constraint programming problems with parameters as exponential random variable
An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems
A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
A solution algorithm for chance-constrained problems with integer second-stage recourse decisions
Convex relaxations of non-convex mixed integer quadratically constrained programs: projected formulations
Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods
MIP reformulations of the probabilistic set covering problem
An integer programming approach for linear programs with probabilistic constraints
Integrated chance constraints: reduced forms and an algorithm
IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation
Mathematical programming approaches for generating p-efficient points