A Second-Order Cone Programming Approximation to Joint Chance-Constrained Linear Programs.
Jianqiang ChengCéline GicquelAbdel LisserPublished in: ISCO (2012)
Keyphrases
- evolutionary algorithm
- stochastic programming
- linear program
- chance constrained
- interior point methods
- linear programming
- chance constrained programming
- convex functions
- primal dual
- chance constraints
- np hard
- multistage
- column generation
- optimal solution
- objective function
- mixed integer
- approximation algorithms
- convex optimization
- dynamic programming
- genetic algorithm
- semidefinite programming
- robust optimization
- knapsack problem
- sufficient conditions
- special case