A Second-Order Cone Programming Approximation to Joint Chance-Constrained Linear Programs
作者： Jianqiang Cheng , Céline Gicquel , Abdel Lisser
DOI: 10.1007/978-3-642-32147-4_8
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摘要: We study stochastic linear programs with joint chance constraints, where the random matrix is a special triangular and data are assumed to be normally distributed. The problem can approximated by another program, whose optimal value an upper bound of original problem. latter program two second-order cone programming (SOCP) problems [5]. Furthermore, in some cases, values SOCPs provide lower respectively. Finally, numerical examples probabilistic lot-sizing given illustrate effectiveness approximations.
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