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2005-01-10Buch DOI: 10.18452/2846
A Branch-Reduce-Cut Algorithm for the Global Optimization of Probabilistically Constrained Linear Programs
dc.contributor.authorCheon, Myun-Seok
dc.contributor.authorAhmed, Shabbir
dc.contributor.authorAl-Khayyal, Faiz
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-15T18:41:29Z
dc.date.available2017-06-15T18:41:29Z
dc.date.created2005-09-08
dc.date.issued2005-01-10none
dc.date.submitted2004-09-23
dc.identifier.otherhttp://edoc.hu-berlin.de/series/speps/2005-2/PDF/2.pdf
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3498
dc.description.abstractWe consider probabilistic constrained linear programs with general distributions for the uncertain parameters. These problems generally involve non-convex feasible sets. We develop a branch and bound algorithm that searches for a global solution to this problem by successively partitioning the non-convex feasible region and by using bounds on the objective function to fathom inferior partitions. This basic algorithm is enhanced by domain reduction and cutting plane strategies to reduce the size of the partitions and hence tighten bounds. The proposed branch-reduce-cut algorithm exploits the monotonicity properties inherent in the problem, and requires solving linear programming subproblems. We provide convergence proofs for the algorithm. Some illustrative numerical results involving problems with discrete distributions are presented.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.relation.ispartofseriesStochastic Programming E-Print Series - 2, SPEPS
dc.subject.ddc510 Mathematik
dc.titleA Branch-Reduce-Cut Algorithm for the Global Optimization of Probabilistically Constrained Linear Programs
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10046351
dc.identifier.doihttp://dx.doi.org/10.18452/2846
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.container-titleSPEPS
local.edoc.pages15
local.z-edoc.journal-periodikumAusgabe2,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue2
local.edoc.container-year2005

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