Article ID: | iaor19931568 |
Country: | United States |
Volume: | 39 |
Issue: | 5 |
Start Page Number: | 776 |
End Page Number: | 786 |
Publication Date: | Sep 1991 |
Journal: | Operations Research |
Authors: | Weintraub Andrs, Vera Jorge |
Keywords: | programming: probabilistic |
One approach for solving linear programs with random coefficients is chance constrained programming. For the case where the technical coefficients are normally distributed, the authors 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.