Solving joint chance constrained problems using regularization and Benders’ decomposition
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00501589" target="_blank" >RIV/67985556:_____/20:00501589 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/20:10416856
Result on the web
<a href="https://link.springer.com/article/10.1007/s10479-018-3091-9" target="_blank" >https://link.springer.com/article/10.1007/s10479-018-3091-9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10479-018-3091-9" target="_blank" >10.1007/s10479-018-3091-9</a>
Alternative languages
Result language
angličtina
Original language name
Solving joint chance constrained problems using regularization and Benders’ decomposition
Original language description
We consider stochastic programs with joint chance constraints with discrete random distribution. We reformulate the problem by adding auxiliary variables. Since the resulting problem has a non-regular feasible set, we regularize it by increasing the feasible set. We solve the regularized problem by iteratively solving a master problem while adding Benders’ cuts from a slave problem. Since the number of variables of the slave problem equals to the number of scenarios, we express its solution in a closed form. We show convergence properties of the solutions. On a gas network design problem, we perform a numerical study by increasing the number of scenarios and compare our solution with a solution obtained by solving the same problem with the continuous distribution.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10101 - Pure mathematics
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Annals of Operations Research
ISSN
0254-5330
e-ISSN
—
Volume of the periodical
292
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
27
Pages from-to
683-709
UT code for WoS article
000563054500006
EID of the result in the Scopus database
2-s2.0-85056150669