Scalable heuristics for a class of chance-constrained stochastic programs

INFORMS Journal on Computing

Volumn 22, Issue 4, 2010, Pages 543-554

  Watson, Jean Paul ^a   Wets, Roger J B ^b   Woodruff, David L ^b  

^a SANDIA NATIONAL LABORATORIES   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Chance constraints; Heuristics; Scenario based decomposition; Stochastic programming

Indexed keywords

EID: 78649342772     PISSN: 10919856     EISSN: 15265528     Source Type: Journal    
DOI: 10.1287/ijoc.1090.0372     Document Type: Article

References (16)

1. Ahmed, S., A. Shapiro. 2008. Solving chance-constrained stochastic programs via sampling and integer programming. Z.-L. Chen, S. Raghavan, eds. Tutorials in Operations Research. INFORMS, Hanover, MD, 261-269.
2. Birge, J. R., F. Louveaux. 1997. Introduction to Stochastic Programming. Springer, New York.
3. Ermoliev, Y. M, V. I. Norkin, R. J-B Wets. 1995. The minimization of semicontinuous functions: Mollifier subgradients. SIAM J. Control Optim. 33(1) 149-167.
4. Holton, G. A. 2003. Value-at-Risk: Theory and Practice. Academic Press, San Diego.
5. ILOG. 2007. IBM ILOG CPLEX: High-performance mathematical programming engine. Retrieved March 2, 2010, http://www. ilog.com/products/cplex.
6. Infanger, G. 1993. Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs. Ann. Oper. Res. 39(1-4) 69-95.
7. Kall, P., S. W. Wallace. 1994. Stochastic Programming. John Wiley & Sons, Chichester, UK.
8. Luedtke, J., S. Ahmed. 2008. A sample approximation approach for optimization with probabilistic constraints. SIAM J. Optim. 19(2) 674-699.
9. Lulli, G., S. Sen. 2004. A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems. Management Sci. 50(6) 786-796.
10. Nemirovski, A., A. Shapiro. 2006. Convex approximations of chance-constrained programs. SIAM J. Optim. 17(4) 969-996.
11. Prekopa, A. 2003. Probabilistic programming. A. Ruszczyński, A. Shapiro, eds. Handbooks in Operations Research and Management Science: Stochastic Programming, Vol. 10. Elsevier, Amsterdam, 267-352.
12. Rockafellar, R. T., R. J-B Wets. 1991. Scenarios and policy aggregation in optimization under uncertainty. Math. Oper. Res. 16(1) 119-147.
13. Ruszczyński, A. 2002. Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra. Math. Programming 93(2) 195-215.
14. Salinetti, G. 1983. Approximations for chance-constrained programming problems. Stochastics 10(3-4) 157-179.
15. Savage, E. L., L. W. Schruben, E. Yucesan. 2005. On the generality of event-graph models. INFORMS J. Comput. 17(1) 3-9.
16. Watson, J.-P., D. L. Woodruff, D. R. Strip. 2007. Progressive hedging innovations for a stochastic spare parts support enterprise problem. Technical Report SAND-2007-3722J, Sandia National Laboratories, Albuquerque, NM.