A branch-reduce-cut algorithm for the gl
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Myun-Seok Cheon; Shabbir Ahmed; Faiz Al-Khayyal
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Article
📅
2006
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Springer-Verlag
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English
⚖ 292 KB
We consider probabilistically constrained linear programs with general distributions for the uncertain parameters. These problems involve non-convex feasible sets. We develop a branch-and-bound algorithm that searches for a global optimal solution to this problem by successively partitioning the non