Publication detail

Pool & Discard Algorithm for Chance Constrained Optimization Problems

KŮDELA, J. POPELA, P.

Original Title

Pool & Discard Algorithm for Chance Constrained Optimization Problems

Type

journal article in Web of Science

Language

English

Original Abstract

In this paper, we describe an effective algorithm for handling chance constrained optimization problems, called the Pool & Discard algorithm. The algorithm utilizes the scenario approximation framework for chance constrained optimization problems, and the warm-start and problem modification features of modern solvers. The exploitation of the problem structure and efficient implementation allows us to considerably speed up the computations, especially for large instances, when compared with conventional methods.

Keywords

chance constrained programming; scenario approximation; P&D algorithm; stochastic programming; constraint removal

Authors

KŮDELA, J.; POPELA, P.

Released

27. 4. 2020

Publisher

IEEE

ISBN

2169-3536

Periodical

IEEE Access

Year of study

8

Number

1

State

United States of America

Pages from

79397

Pages to

79407

Pages count

11

URL

https://ieeexplore.ieee.org/document/9079523

Full text in the Digital Library

http://hdl.handle.net/11012/193413

BibTex

@article{BUT163939,
  author="Jakub {Kůdela} and Pavel {Popela}",
  title="Pool & Discard Algorithm for Chance Constrained Optimization Problems",
  journal="IEEE Access",
  year="2020",
  volume="8",
  number="1",
  pages="79397--79407",
  doi="10.1109/ACCESS.2020.2990726",
  issn="2169-3536",
  url="https://ieeexplore.ieee.org/document/9079523"
}