Weintraub, Andrés; Vera, Jorge A cutting plane approach for chance constrained linear programs. (English) Zbl 0744.90065 Oper. Res. 39, No. 5, 776-785 (1991). Summary: One approach for solving linear programs with random coefficients is chance constrained programming. For the case where the technical coefficients are normally distributed, we present a convergent cutting plane algorithm to solve the equivalent nonlinear program, which takes advantage of the characteristics of the problem. The algorithm requires a moderate computational effort and compares favorably with a general nonlinear code and other approaches proposed for solving this problem. Cited in 14 Documents MSC: 90C15 Stochastic programming 90C05 Linear programming 90-08 Computational methods for problems pertaining to operations research and mathematical programming Keywords:random coefficients; chance constrained programming; convergent cutting plane algorithm PDFBibTeX XMLCite \textit{A. Weintraub} and \textit{J. Vera}, Oper. Res. 39, No. 5, 776--785 (1991; Zbl 0744.90065) Full Text: DOI