Detail publikačního výsledku

Pool & Discard Algorithm for Chance Constrained Optimization Problems

KŮDELA, J.; POPELA, P.

Originální název

Pool & Discard Algorithm for Chance Constrained Optimization Problems

Anglický název

Pool & Discard Algorithm for Chance Constrained Optimization Problems

Druh

Článek WoS

Originální abstrakt

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.

Anglický abstrakt

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.

Klíčová slova

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

Klíčová slova v angličtině

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

Autoři

KŮDELA, J.; POPELA, P.

Rok RIV

2021

Vydáno

27.04.2020

Nakladatel

IEEE

ISSN

2169-3536

Periodikum

IEEE Access

Svazek

8

Číslo

1

Stát

Spojené státy americké

Strany od

79397

Strany do

79407

Strany počet

11

URL

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

Plný text v Digitální knihovně

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"
}