A robust approach to the chance-constrained knapsack problem

Authors:
Olivier Klopfenstein;Dritan Nace
Affiliations:
France Télécom R & D, France and Universitéé de Technologie de Compiègne, Laboratoire Heudiasyc, France;Université de Technologie de Compiègne, Laboratoire Heudiasyc, France
Venue:
Operations Research Letters
Year:
2008

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Abstract

In this paper, the chance-constrained knapsack problem (CKP) is addressed. Relying on robust optimization, a tractable combinatorial algorithm is proposed to solve approximately CKP. For two specific classes of uncertain knapsack problems, it is proved to solve CKP at optimality.