Scalable heuristics for a class of chance-constrained stochastic programs

DOI10.1287/IJOC.1090.0372MaRDI QIDQ2899086zbMATH OpenOpenAlexFDO

Authors Jean-Paul Watson, Roger J.-B. Wets, David L. Woodruff

Publication date 28 July 2012

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/605c276f01adf7ce3ba071cff0d12784ea9d5f46

zbMATH Keywords

chance constraintsheuristicsscenario-based decompositionstochastic programming

Mathematics Subject Classification ID

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

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• Parallel Scenario Decomposition of Risk-Averse 0-1 Stochastic Programs
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• Statistical performance of subgradient step-size update rules in Lagrangian relaxations of chance-constrained optimization models

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