版权所有:内蒙古大学图书馆 技术提供:维普资讯• 智图
内蒙古自治区呼和浩特市赛罕区大学西街235号 邮编: 010021
作者机构:Ohio State Univ Dept Integrated Syst Engn Columbus OH 43210 USA Univ Wisconsin Dept Ind & Syst Engn Madison WI USA
出 版 物:《MATHEMATICAL PROGRAMMING》 (数学规划)
年 卷 期:2016年第157卷第1期
页 面:219-243页
核心收录:
学科分类:1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0835[工学-软件工程] 0701[理学-数学]
基 金:National Science Foundation (NSF) [CMMI-1055668] NSF [CMMI-0952907] Applied Mathematics activity, Advance Scientific Computing Research program within the DOE Office of Science under Argonne National Laboratory Div Of Civil, Mechanical, & Manufact Inn Directorate For Engineering [1055668, 0952907] Funding Source: National Science Foundation
主 题:Two-stage stochastic programming Chance constraints Benders decomposition Cutting planes
摘 要:We study a class of chance-constrained two-stage stochastic optimization problems where second-stage feasible recourse decisions incur additional cost. In addition, we propose a new model, where recovery decisions are made for the infeasible scenarios to obtain feasible solutions to a relaxed second-stage problem. We develop decomposition algorithms with specialized optimality and feasibility cuts to solve this class of problems. Computational results on a chance-constrained resource planing problem indicate that our algorithms are highly effective in solving these problems compared to a mixed-integer programming reformulation and a naive decomposition method.