WIAS Preprints

Permanent URI for this collection

Now showing 1 - 1 of 1

Solving joint chance constrained problems using regularization and Benders decomposition
(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2018) Adam, Lukás; Branda, Martin; Heitsch, Holger; Henrion, René
In this paper we investigate stochastic programms with joint chance constraints. We consider discrete scenario set and reformulate the problem by adding auxiliary variables. Since the resulting problem has a difficult feasible set, we regularize it. To decrease the dependence on the scenario number, we propose a numerical method by iteratively solving a master problem while adding Benders cuts. We find the solution of the slave problem (generating the Benders cuts) in a closed form and propose a heuristic method to decrease the number of cuts. We perform a numerical study by increasing the number of scenarios and compare our solution with a solution obtained by solving the same problem with continuous distribution.