haku: @author Vera, J. / yhteensä: 1
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| Tekijä: | Weintraub, A. Vera, J. |
| Otsikko: | A cutting plane approach for change constrained linear programs. |
| Lehti: | Operations Research
1991 : SEP-OCT, VOL. 39:5, p. 776-785 |
| Asiasana: | LINEAR PROGRAMMING |
| Kieli: | eng |
| Tiivistelmä: | A convergent algorithm is presented, which can be used for solving chance constrained LPs based on applying a cutting planes approach to solve the equivalent nonlinear deterministic problem for the case of normally distributed random constraint coefficients. The algorithm is relatively simple to implement as long as the LP (linear program) code can be interphased with generation of additional constraints. Core requirements in addition to the LP code are not major. In terms of CPU time and precision, in computational tests, the algorithm proved to be a good alternative to a general nonlinear code (MINOS) for solving chance constrained problems. |
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