TY - JOUR
T1 - Bounds for probabilistic integer programming problems
AU - Dentcheva, Darinka
AU - Prékopa, András
AU - Ruszczyski, Andrzej
PY - 2002/12/15
Y1 - 2002/12/15
N2 - We consider stochastic integer programming problems with probabilistic constraints. The concept of p-efficient points of a probability distribution is used to derive various equivalent problem formulations. Next we introduce new methods for constructing lower and upper bounds for probabilistically constrained integer programs. We also show how limited information about the distribution can be used to construct such bounds. The concepts and methods are illustrated on an example of a vehicle routing problem.
AB - We consider stochastic integer programming problems with probabilistic constraints. The concept of p-efficient points of a probability distribution is used to derive various equivalent problem formulations. Next we introduce new methods for constructing lower and upper bounds for probabilistically constrained integer programs. We also show how limited information about the distribution can be used to construct such bounds. The concepts and methods are illustrated on an example of a vehicle routing problem.
KW - Column generation
KW - Integer programming
KW - Probabilistic constraints
KW - Stochastic programming
UR - http://www.scopus.com/inward/record.url?scp=84867930102&partnerID=8YFLogxK
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U2 - 10.1016/S0166-218X(01)00329-8
DO - 10.1016/S0166-218X(01)00329-8
M3 - Article
AN - SCOPUS:84867930102
SN - 0166-218X
VL - 124
SP - 55
EP - 65
JO - Discrete Applied Mathematics
JF - Discrete Applied Mathematics
IS - 1-3
ER -