TY - GEN

T1 - A second-order cone programming approximation to joint chance-constrained linear programs

AU - Cheng, Jianqiang

AU - Gicquel, Céline

AU - Lisser, Abdel

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84865264938&partnerID=8YFLogxK

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U2 - 10.1007/978-3-642-32147-4_8

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

M3 - Conference contribution

AN - SCOPUS:84865264938

SN - 9783642321467

T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

SP - 71

EP - 80

BT - Combinatorial Optimization - Second International Symposium, ISCO 2012, Revised Selected Papers

T2 - 2nd International Symposium on Combinatorial Optimization, ISCO 2012

Y2 - 19 April 2012 through 21 April 2012

ER -