Detail publikace
Pool & Discard Algorithm for Chance Constrained Optimization Problems
KŮDELA, J. POPELA, P.
Anglický název
Pool & Discard Algorithm for Chance Constrained Optimization Problems
Typ
článek v časopise ve Web of Science, Jimp
Jazyk
en
Originální abstrakt
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.
Anglický abstrakt
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.
Klíčová slova anglicky
chance constrained programming; scenario approximation; P&D algorithm; stochastic programming; constraint removal
Vydáno
27.04.2020
Nakladatel
IEEE
ISSN
2169-3536
Ročník
8
Číslo
1
Strany od–do
79397–79407
Počet stran
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"
}