An Integer Programming Approach for Linear Programs with Probabilistic Constraints
IPCO '07 Proceedings of the 12th international conference on Integer Programming and Combinatorial Optimization
A cross-entropy method for value-at-risk constrained optimization
ACIIDS'11 Proceedings of the Third international conference on Intelligent information and database systems - Volume Part II
The Express heuristic for probabilistically constrained integer problems
Journal of Heuristics
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We consider probabilistically constrained linear programs with general distributions for the uncertain parameters. These problems involve non-convex feasible sets. We develop a branch-and-bound algorithm that searches for a global optimal solution to this problem by successively partitioning the non-convex feasible region and by using bounds on the objective function to fathom inferior partition elements. This basic algorithm is enhanced by domain reduction and cutting plane strategies to reduce the size of the partition elements and hence tighten bounds. The proposed branch-reduce-cut algorithm exploits the monotonicity properties inherent in the problem, and requires solving linear programming subproblems. We provide convergence proofs for the algorithm. Some illustrative numerical results involving problems with discrete distributions are presented.