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Regularization methods for optimization problems with probabilistic constraints

โœ Scribed by Dentcheva, Darinka; Martinez, Gabriela

Book ID
115314771
Publisher
Springer-Verlag
Year
2012
Tongue
English
Weight
345 KB
Volume
138
Category
Article
ISSN
0025-5610

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โœ Bernard Fortz; Michael Poss ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 232 KB

We show how we can linearize individual probabilistic linear constraints with binary variables when all coefficients are independently distributed according to either N (ยต i , ฮปยต i ), for some ฮป > 0 and ยต i > 0, or ฮ“ (k i , ฮธ ) for some ฮธ > 0 and k i > 0. The constraint can also be linearized when t