A Linear Approximation for Chance-Constrained Programming
作者:
OlsonDavid L.,
SwensethScott R.,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1987)
卷期:
Volume 38,
issue 3
页码: 261-267
ISSN:0160-5682
年代: 1987
DOI:10.1057/jors.1987.42
出版商: Taylor&Francis
关键词: chance-constrained programming;goal programming;multiple-objective programming
数据来源: Taylor
摘要:
AbstractDecision environments involve the need to solve problems with varying degrees of uncertainty as well as multiple, potentially conflicting objectives. Chance constraints consider the uncertainty encountered. Codes incorporating chance constraints into a mathematical programming model are not available on a widespread basis owing to the non-linear form of the chance constraints. Therefore, accurate linear approximations would be useful to analyse this class of problems with efficient linear codes. This paper presents an approximation formula for chance constraints which can be used in either the single- or multiple-objective case. The approximation presented will place a bound on the chance constraint at least as tight as the true non-linear form, thus overachieving the chance constraint at the expense of other constraints or objectives.
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