| bibtype |
J -
Journal Article
|
| ARLID |
0501589 |
| utime |
20240103221607.0 |
| mtime |
20190215235959.9 |
| SCOPUS |
85056150669 |
| WOS |
000563054500006 |
| DOI |
10.1007/s10479-018-3091-9 |
| title
(primary) (eng) |
Solving joint chance constrained problems using regularization and Benders’ decomposition |
| specification |
| page_count |
27 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250807 |
| ISSN |
0254-5330 |
| title
|
Annals of Operations Research |
| volume_id |
292 |
| volume |
2 (2020) |
| page_num |
683-709 |
| publisher |
|
|
| keyword |
Stochastic programming |
| keyword |
Chance constrained programming |
| keyword |
Optimality conditions |
| keyword |
Regularization |
| keyword |
Benders' decomposition |
| keyword |
Gas networks |
| author
(primary) |
| ARLID |
cav_un_auth*0309054 |
| name1 |
Adam |
| name2 |
Lukáš |
| institution |
UTIA-B |
| full_dept (cz) |
Matematická teorie rozhodování |
| full_dept (eng) |
Department of Decision Making Theory |
| department (cz) |
MTR |
| department (eng) |
MTR |
| full_dept |
Department of Decision Making Theory |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0280972 |
| name1 |
Branda |
| name2 |
Martin |
| institution |
UTIA-B |
| full_dept (cz) |
Matematická teorie rozhodování |
| full_dept |
Department of Decision Making Theory |
| department (cz) |
MTR |
| department |
MTR |
| full_dept |
Department of Decision Making Theory |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0372396 |
| name1 |
Heitsch |
| name2 |
H. |
| country |
DE |
|
| author
|
| ARLID |
cav_un_auth*0015558 |
| name1 |
Henrion |
| name2 |
R. |
| country |
DE |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GA18-04145S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0373104 |
|
| project |
| project_id |
GA18-05631S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0373105 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
BA |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10101 |
| reportyear |
2021 |
| num_of_auth |
4 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0294165 |
| cooperation |
| ARLID |
cav_un_auth*0372394 |
| name |
Southern University of Science and Technology |
| country |
CN |
|
| cooperation |
| ARLID |
cav_un_auth*0295067 |
| name |
Univerzita Karlova v Praze |
| institution |
UK |
| country |
CZ |
|
| cooperation |
| ARLID |
cav_un_auth*0305285 |
| name |
Weierstraß-Institut für Angewandte Analysis und Stochastik |
| country |
DE |
|
| confidential |
S |
| mrcbC86 |
2 Article Operations Research Management Science |
| mrcbC91 |
C |
| mrcbT16-e |
OPERATIONSRESEARCHMANAGEMENTSCIENCE |
| mrcbT16-i |
2.55270 |
| mrcbT16-j |
0.835 |
| mrcbT16-s |
1.068 |
| mrcbT16-B |
39.133 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2020 |
| mrcbU14 |
85056150669 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000563054500006 WOS |
| mrcbU63 |
cav_un_epca*0250807 Annals of Operations Research 0254-5330 1572-9338 Roč. 292 č. 2 2020 683 709 Springer |
|