Selecting tolerances in chance-constrained programming: A multiple objective linear programming approach

DOI10.1016/0167-6377(85)90034-3MaRDI QIDQ1058987zbMATH OpenOpenAlexFDO

Authors Terry R. Rakes, Gary R. Reeves

Publication date 1985

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6377(85)90034-3

zbMATH Keywords

chance-constrained programmingmultiple objective linear programmingselection of tolerances

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Linear programming (90C05) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

Review text

An importance issue concerning the practical application of chance- constrained programming is the lack of a rational method for choosing risk levels or tolerances on the chance constraints. While there has also been much recent debate on the relationship, equivalence, usefulness, and other characteristics of chance-contrained programming relative to stochastic programming with recourse, this paper focuses on the problem of improving the selection of tolerances within the chance-constrained framework. An approach is presented, based on multiple objective linear programming, which allows the decision maker to be more involved in the tolerance selection process, but does not demand a priori decisions on appropriate tolerances. An example is presented which illustrates the approach.

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Cites work

• A Review of Stochastic Linear Programming
• Chance-constrained programming
• scientific article; zbMATH DE number 3532701 (Why is no real title available?)
• scientific article; zbMATH DE number 3598214 (Why is no real title available?)
• scientific article; zbMATH DE number 3414075 (Why is no real title available?)
• Multiple Objective Linear Programming with Interval Criterion Weights
• Reliability type inventory models based on stochastic programming
• Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty

Cited in

(6)

• A linear approximation method for solving a special class of the chance constrained programming problem
• A simplified MOLP algorithm: The MOLP-S procedure
• Using integer programming for balancing return and risk in problems with individual chance constraints
• A Linear Approximation for Chance-Constrained Programming
• A simulated annealing approach for reliability-based chance-constrained programming
• A stochastic approach for the optimization of open-loop engine control systems

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• ADBASE

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