Stochastic simulation based genetic algorithm for chance constraint programming problems with some discrete random variables

A stochastic simulation based genetic algorithm (GA) is presented, in this paper, for solving chance constraint programming problems in which the random variables follow some discrete distributions. The feasibility of the chance constraints is checked by stochastic simulation. In general, the feasib...

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Vydané v:International journal of computer mathematics Ročník 81; číslo 12; s. 1455 - 1463
Hlavní autori: Jana, R. K., Biswal, M. P.
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Taylor & Francis 01.12.2004
Predmet:
Chance constraint
Discrete random variables
Genetic algorithm
Stochastic programming
Stochastic simulation
ISSN:0020-7160, 1029-0265
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Shrnutí:A stochastic simulation based genetic algorithm (GA) is presented, in this paper, for solving chance constraint programming problems in which the random variables follow some discrete distributions. The feasibility of the chance constraints is checked by stochastic simulation. In general, the feasible region associate with such problems is non-convex. Therefore, GA is used to obtain the optimal solution. In the proposed method, the stochastic model is directly used without finding the deterministic equivalent of it. A numerical example is presented to prove the efficiency of the proposed method. E-mail: rabin@maths.iitkgp.ernet.in
Bibliografia:ObjectType-Article-2
SourceType-Scholarly Journals-1
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content type line 23
ISSN:0020-7160
1029-0265
DOI:10.1080/0020716042000272584