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 WoS

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.

Klíčová slova anglicky

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

Vydáno

2020-04-27

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",
  journal="IEEE Access",
  year="2020",
  volume="8",
  number="1",
  pages="79397--79407",
  doi="10.1109/ACCESS.2020.2990726",
  issn="2169-3536",
  url="https://ieeexplore.ieee.org/document/9079523"
}