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A cutting plane approach for chance constrained linear programs. (English) Zbl 0744.90065

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.

MSC:

90C15 Stochastic programming
90C05 Linear programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming
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