(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.
