Artikel
Tighter reformulations using classical Dawson and Sankoff bounds for approximating two-stage chance-constrained programs
We extend and improve recent results given by Singh and Watson on using classical bounds on the union of sets in a chance-constrained optimization problem. Specifically, we revisit the so-called Dawson and Sankoff bound that provided one of the best approximations of a chance constraint in the previous analysis. Next, we show that our work is a generalization of the previous work, and in fact the inequality employed previously is a very relaxed approximation with assumptions that do not generally hold. Computational results demonstrate on average over a 43% improvement in the bounds. As a byproduct, we provide an exact reformulation of the floor function in optimization models.
- Sprache
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Englisch
- Erschienen in
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Journal: Optimization Letters ; ISSN: 1862-4480 ; Volume: 15 ; Year: 2020 ; Issue: 2 ; Pages: 327-336 ; Berlin, Heidelberg: Springer
- Klassifikation
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Mathematik
- Thema
-
Chance-constrained optimization
Bonferroni inequalities
Union bounds
Stochastic optimization
Floor function
Linearization
- Ereignis
-
Geistige Schöpfung
- (wer)
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Singh, Bismark
- Ereignis
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Veröffentlichung
- (wer)
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Springer
- (wo)
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Berlin, Heidelberg
- (wann)
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2020
- DOI
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doi:10.1007/s11590-020-01592-1
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Singh, Bismark
- Springer
Entstanden
- 2020
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