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Autor
Bellahcene Fatima (Mouloud Mammeri University, Tizi-Ouzou, Algeria)
Tytuł
Application of the Polyblock Method to Special Integer Chance Constrained Problem
Źródło
Operations Research and Decisions, 2019, vol. 29, no. 4, s. 23-40, rys., tab., bibliogr. 24 poz.
Słowa kluczowe
Programowanie stochastyczne, Programowanie nieliniowe, Zmienne losowe, Optymalizacja
Stochastic programming, Nonlinear programming, Random variable, Optimalization
Uwagi
summ.
Abstrakt
The focus in this paper is on a special integer stochastic program with a chance constraint in which, with a given probability, a sum of independent and normally distributed random variables is bounded below. The objective is to maximize the expectation of a linear function of the random variables. The stochastic program is first reduced to an equivalent deterministic integer nonlinear program with monotonic objective and constraints functions. The resulting deterministic problem is solved using the discrete polyblock method which exploits its special structure. A numerical example is included for illustration and comparisons with LINGO, COUENNE, BONMIN and BARON solvers are performed. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Pełny tekst
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Bibliografia
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Cytowane przez
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ISSN
2081-8858
Język
eng
URI / DOI
http://dx.doi.org/10.37190/ord190402
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