Tuesday, 14:15 - 14:40 h, Room: H 2013

 

Ricardo Fukasawa
New inequalities for mixing sets arising in chance constrained programming

Coauthor: Ahmad Abdi

 

Abstract:
Luedtke et al (2010) and Kucukyavuz (2010) study a mixing set arising when reformulating chance-constrained programs with joint probabilistic constraints in which the right-hand-side vector is random with a finite discrete distribution. These two papers introduce facet-defining inequalities for the convex hull of such sets, like the strengthened star inequalities and the (T,\PiL) inequalities. We present a new class of inequalities that generalizes all these previously derived inequalities (both for the equal and unequal probabilites case).

 

Talk 3 of the invited session Tue.2.H 2013
"Advances in mixed integer programming" [...]
Cluster 11
"Integer & mixed-integer programming" [...]

 

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