An augmented lagrangian decomposition method for chance-constrained optimization problems

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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

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