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Author |
Canessa, G.; Gallego, J.A.; Ntaimo, L.; Pagnoncelli, B.K. |
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Title |
An algorithm for binary linear chance-constrained problems using IIS |
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Year |
2019 |
Publication |
Computational Optimization And Applications |
Abbreviated Journal |
Comput. Optim. Appl. |
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Volume |
72 |
Issue |
3 |
Pages |
589-608 |
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Keywords |
Chance-constrained programming; Infeasible irreducible subsystems; Integer programming |
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Abstract |
We propose an algorithm based on infeasible irreducible subsystems to solve binary linear chance-constrained problems with random technology matrix. By leveraging on the problem structure we are able to generate good quality upper bounds to the optimal value early in the algorithm, and the discrete domain is used to guide us efficiently in the search of solutions. We apply our methodology to individual and joint binary linear chance-constrained problems, demonstrating the ability of our approach to solve those problems. Extensive numerical experiments show that, in some cases, the number of nodes explored by our algorithm is drastically reduced when compared to a commercial solver. |
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Address |
[Canessa, Gianpiero] Univ Adolfo Ibanez, Diagonal Torres 2640, Santiago 7941169, Chile, Email: gianpiero.canessa@edu.uai.cl |
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Publisher |
Springer |
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Language |
English |
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Series Volume |
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Edition |
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ISSN |
0926-6003 |
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Notes |
WOS:000463792400003 |
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Call Number |
UAI @ eduardo.moreno @ |
Serial |
996 |
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