Mathematical programming approaches for generating p-efficient points

Abstract: Probabilistically constrained problems, in which the random variables are finitely distributed, are nonconvex in general and hard to solve. The p-efficiency concept has been widely used to develop efficient methods to solve such problems. Those methods require the generation of p-efficient points (pLEPs) and use an enumeration scheme to identify pLEPs. In this paper, we consider a random vector characterized by a finite set of scenarios and generate pLEPs by solving a mixed-integer programming (MIP) problem. We solve this computationally challenging MIP problem with a new mathematical programming framework. It involves solving a series of increasingly tighter outer approximations and employs, as algorithmic techniques, a bundle preprocessing method, strengthening valid inequalities, and a fixing strategy. The method is exact (resp., heuristic) and ensures the generation of pLEPs (resp., quasi pLEPs) if the fixing strategy is not (resp., is) employed, and it can be used to gen...

• Type: Journal
• Year: 2010
• Where: EOR
• Authors: Miguel A. Lejeune, Nilay Noyan
• Keywords: EOR 2010, Fixing Strategy, P-efficiency Concept, Random Variables