A CUTTING PLANE APPROACH FOR CHANCE CONSTRAINED LINEAR-PROGRAMS

• 成果类型: Article
• 署名作者: WEINTRAUB, A; VERA, J
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.39.5.776
• 发表日期: 1991
• 页码: 776-785
• 关键词: programming; NONLINEAR CONVEX - CHANCE CONSTRAINED PROGRAMMING

摘要

One approach for solving linear programs with random coefficients is chance constrained programming. For the case where the technical coefficients are normally distributed, we present a convergent cutting plane algorithm to solve the equivalent nonlinear program, which takes advantage of the characteristics of the problem. The algorithm requires a moderate computational effort and compares favorably with a general nonlinear code and other approaches proposed for solving this problem.