Publication detail

Pool & Discard Algorithm for Chance Constrained Optimization Problems

KŮDELA, J. POPELA, P.

English title

Pool & Discard Algorithm for Chance Constrained Optimization Problems

Type

journal article in Web of Science

Language

en

Original abstract

In this paper, we describe an effective algorithm for handling chance constrained optimization problems, called the Pool & Discard algorithm. The algorithm utilizes the scenario approximation framework for chance constrained optimization problems, and the warm-start and problem modification features of modern solvers. The exploitation of the problem structure and efficient implementation allows us to considerably speed up the computations, especially for large instances, when compared with conventional methods.

English abstract

In this paper, we describe an effective algorithm for handling chance constrained optimization problems, called the Pool & Discard algorithm. The algorithm utilizes the scenario approximation framework for chance constrained optimization problems, and the warm-start and problem modification features of modern solvers. The exploitation of the problem structure and efficient implementation allows us to considerably speed up the computations, especially for large instances, when compared with conventional methods.

Keywords in English

chance constrained programming; scenario approximation; P&D algorithm; stochastic programming; constraint removal

Released

27.04.2020

Publisher

IEEE

ISSN

2169-3536

Volume

8

Number

1

Pages from–to

79397–79407

Pages count

11

BIBTEX


@article{BUT163939,
  author="Jakub {Kůdela} and Pavel {Popela},
  title="Pool & Discard Algorithm for Chance Constrained Optimization Problems",
  year="2020",
  volume="8",
  number="1",
  month="April",
  pages="79397--79407",
  publisher="IEEE",
  issn="2169-3536"
}