On quantile cuts and their closure for chance constrained optimization problems

A chance constrained optimization problem over a finite distribution involves a set of scenario constraints from which a small subset can be violated. We consider the setting where all scenario constraints are mixed-integer convex. Existing works typically consider a mixed integer nonlinear programm...

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Bibliographic Details
Published in:	Mathematical programming Vol. 172; no. 1-2; pp. 621 - 646
Main Authors:	Xie, Weijun, Ahmed, Shabbir
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.11.2018 Springer Nature B.V
Subjects:	Calculus of Variations and Optimal Control; Optimization Combinatorics Constraints Full Length Paper Heuristic methods Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Mixed integer Nonlinear programming Numerical Analysis Optimization Separation Theoretical 90C11 90C15
ISSN:	0025-5610, 1436-4646
Online Access:	Get full text
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