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SPEPS Preprint

Author(s): Willem K. Klein Haneveld, University of Groningen
Maarten H. van der Vlerk, University of Groningen
Title: Integrated chance constraints – reduced forms and an algorithm
Date of Acceptance: 29.07.2002
Submission Date: 27.05.2002
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Keywords (eng): chance constraints, simple recourse, algorithm
Submitted in: Computational management science
Springer (Heidelberg)
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Abstract (eng):
We consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints. We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the case that the underlying distribution is discrete. Based on these reduced forms, we propose an efficient algorithm for this problem class. The relation to conditional value-at-risk models and (simple) recourse models is discussed, leading to a special purpose algorithm for simple recourse models with discretely distributed technology matrix. For both algorithms, numerical results are presented.
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