An augmented lagrangian decomposition method for chance-constrained optimization problems

An augmented lagrangian decomposition method for chance-constrained optimization problems

Joint chance-constrained optimization problems under discrete distributions arise frequently in financial management and business operations. These problems can be reformulated as mixed-integer programs. The size of reformulated integer programs is usually very large even though the original problem...

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Bibliographic Details
Main Authors: Bai, X., Sun, Jie, Zheng, X.
Format: Journal Article
Language:English
Published: INFORMS 2021
Subjects:
Science & Technology
Technology
Computer Science, Interdisciplinary Applications
Operations Research & Management Science
Computer Science
chance-constrained optimization problem
finite discrete distribution
alternating direction method of multipliers
augmented Lagrangian algorithm
first-order stationary point
ALTERNATING DIRECTION METHOD
LINEAR-PROGRAMS
DISCRETE-DISTRIBUTIONS
CONVEX APPROXIMATIONS
ALGORITHM
REGULARIZATION
RELAXATIONS
Online Access:http://hdl.handle.net/20.500.11937/91428

Internet

http://hdl.handle.net/20.500.11937/91428

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