A second-order cone programming approximation to joint chance-constrained linear programs

Jianqiang Cheng; Céline Gicquel; Abdel Lisser

doi:10.1007/978-3-642-32147-4_8

A second-order cone programming approximation to joint chance-constrained linear programs

Jianqiang Cheng, Céline Gicquel, Abdel Lisser

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

10 Scopus citations

Abstract

We study stochastic linear programs with joint chance constraints, where the random matrix is a special triangular matrix and the random data are assumed to be normally distributed. The problem can be approximated by another stochastic program, whose optimal value is an upper bound of the original problem. The latter stochastic program can be approximated by two second-order cone programming (SOCP) problems [5]. Furthermore, in some cases, the optimal values of the two SOCPs problems provide a lower bound and an upper bound of the approximated stochastic program respectively. Finally, numerical examples with probabilistic lot-sizing problems are given to illustrate the effectiveness of the two approximations.

Original language	English (US)
Title of host publication	Combinatorial Optimization - Second International Symposium, ISCO 2012, Revised Selected Papers
Pages	71-80
Number of pages	10
DOIs	https://doi.org/10.1007/978-3-642-32147-4_8
State	Published - 2012
Externally published	Yes
Event	2nd International Symposium on Combinatorial Optimization, ISCO 2012 - Athens, Greece Duration: Apr 19 2012 → Apr 21 2012

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume	7422 LNCS
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	2nd International Symposium on Combinatorial Optimization, ISCO 2012
Country/Territory	Greece
City	Athens
Period	4/19/12 → 4/21/12

ASJC Scopus subject areas

Theoretical Computer Science
General Computer Science

Access to Document

10.1007/978-3-642-32147-4_8

Cite this

Cheng, J., Gicquel, C., & Lisser, A. (2012). A second-order cone programming approximation to joint chance-constrained linear programs. In Combinatorial Optimization - Second International Symposium, ISCO 2012, Revised Selected Papers (pp. 71-80). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 7422 LNCS). https://doi.org/10.1007/978-3-642-32147-4_8

A second-order cone programming approximation to joint chance-constrained linear programs. / Cheng, Jianqiang; Gicquel, Céline; Lisser, Abdel.
Combinatorial Optimization - Second International Symposium, ISCO 2012, Revised Selected Papers. 2012. p. 71-80 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 7422 LNCS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Cheng, J, Gicquel, C & Lisser, A 2012, A second-order cone programming approximation to joint chance-constrained linear programs. in Combinatorial Optimization - Second International Symposium, ISCO 2012, Revised Selected Papers. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 7422 LNCS, pp. 71-80, 2nd International Symposium on Combinatorial Optimization, ISCO 2012, Athens, Greece, 4/19/12. https://doi.org/10.1007/978-3-642-32147-4_8

Cheng J, Gicquel C, Lisser A. A second-order cone programming approximation to joint chance-constrained linear programs. In Combinatorial Optimization - Second International Symposium, ISCO 2012, Revised Selected Papers. 2012. p. 71-80. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)). doi: 10.1007/978-3-642-32147-4_8

Cheng, Jianqiang ; Gicquel, Céline ; Lisser, Abdel. / A second-order cone programming approximation to joint chance-constrained linear programs. Combinatorial Optimization - Second International Symposium, ISCO 2012, Revised Selected Papers. 2012. pp. 71-80 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).

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A second-order cone programming approximation to joint chance-constrained linear programs

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