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
name Springer
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
url http://library.utia.cas.cz/separaty/2019/MTR/adam-0501589.pdf
source
url https://link.springer.com/article/10.1007/s10479-018-3091-9
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
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arlyear 2020
mrcbU14 85056150669 SCOPUS
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mrcbU63 cav_un_epca*0250807 Annals of Operations Research 0254-5330 1572-9338 Roč. 292 č. 2 2020 683 709 Springer