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Tractable algorithms for chance-constrained combinatorial problems

Olivier Klopfenstein (2009)

RAIRO - Operations Research

This paper aims at proposing tractable algorithms to find effectively good solutions to large size chance-constrained combinatorial problems. A new robust model is introduced to deal with uncertainty in mixed-integer linear problems. It is shown to be strongly related to chance-constrained programming when considering pure 0–1 problems. Furthermore, its tractability is highlighted. Then, an optimization algorithm is designed to provide possibly good solutions to chance-constrained combinatorial...

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