Abstract
Stochastic integer programming problems under probabilistic constraints are considered. Deterministic equivalent formulations of the original problem are obtained by using p-efficient points of the distribution function of the right hand side vector. A branch and bound solution method is proposed based on a partial enumeration of the set of these points. The numerical experience with the probabilistic lot-sizing problem shows the potential of the solution approach and the efficiency of the algorithms implemented.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 359-382 |
| Number of pages | 24 |
| Journal | Optimization Methods and Software |
| Volume | 17 |
| Issue number | 3 SPEC. |
| DOIs | |
| State | Published - Jun 2002 |
All Science Journal Classification (ASJC) codes
- Software
- Control and Optimization
- Applied Mathematics
Keywords
- Branch and bound
- Probabilistic programming
- Stochastic integer programming