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Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications

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Cited by:

  1. Peng, Shen & Maggioni, Francesca & Lisser, Abdel, 2022. "Bounds for probabilistic programming with application to a blend planning problem," European Journal of Operational Research, Elsevier, vol. 297(3), pages 964-976.
  2. Ming Liu & Yueyu Ding & Lihua Sun & Runchun Zhang & Yue Dong & Zihan Zhao & Yiting Wang & Chaoran Liu, 2023. "Green Airline-Fleet Assignment with Uncertain Passenger Demand and Fuel Price," Sustainability, MDPI, vol. 15(2), pages 1-22, January.
  3. Oleg V. Shylo & Oleg A. Prokopyev & Andrew J. Schaefer, 2013. "Stochastic Operating Room Scheduling for High-Volume Specialties Under Block Booking," INFORMS Journal on Computing, INFORMS, vol. 25(4), pages 682-692, November.
  4. Nhung Nguyen Hong & Yosuke Nakanishi, 2019. "Optimal Scheduling of an Isolated Wind-Diesel-Energy Storage System Considering Fast Frequency Response and Forecast Error," Energies, MDPI, vol. 12(5), pages 1-20, March.
  5. Diglio, Antonio & Peiró, Juanjo & Piccolo, Carmela & Saldanha-da-Gama, Francisco, 2023. "Approximation schemes for districting problems with probabilistic constraints," European Journal of Operational Research, Elsevier, vol. 307(1), pages 233-248.
  6. Yan Deng & Huiwen Jia & Shabbir Ahmed & Jon Lee & Siqian Shen, 2021. "Scenario Grouping and Decomposition Algorithms for Chance-Constrained Programs," INFORMS Journal on Computing, INFORMS, vol. 33(2), pages 757-773, May.
  7. Shen Peng & Jie Jiang, 2021. "Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches," Computational Optimization and Applications, Springer, vol. 80(1), pages 153-184, September.
  8. Gianpiero Canessa & Julian A. Gallego & Lewis Ntaimo & Bernardo K. Pagnoncelli, 2019. "An algorithm for binary linear chance-constrained problems using IIS," Computational Optimization and Applications, Springer, vol. 72(3), pages 589-608, April.
  9. Antonios Georgantas & Michalis Doumpos & Constantin Zopounidis, 2024. "Robust optimization approaches for portfolio selection: a comparative analysis," Annals of Operations Research, Springer, vol. 339(3), pages 1205-1221, August.
  10. Yuan Yuan & Zukui Li & Biao Huang, 2017. "Robust optimization approximation for joint chance constrained optimization problem," Journal of Global Optimization, Springer, vol. 67(4), pages 805-827, April.
  11. Yuchen Jiang & Juan Xu & Siqian Shen & Cong Shi, 2017. "Production planning problems with joint service-level guarantee: a computational study," International Journal of Production Research, Taylor & Francis Journals, vol. 55(1), pages 38-58, January.
  12. L. Jeff Hong & Zhaolin Hu & Liwei Zhang, 2014. "Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo," INFORMS Journal on Computing, INFORMS, vol. 26(2), pages 385-400, May.
  13. Erfan Mohagheghi & Mansour Alramlawi & Aouss Gabash & Pu Li, 2018. "A Survey of Real-Time Optimal Power Flow," Energies, MDPI, vol. 11(11), pages 1-20, November.
  14. Aigner, Kevin-Martin & Clarner, Jan-Patrick & Liers, Frauke & Martin, Alexander, 2022. "Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty," European Journal of Operational Research, Elsevier, vol. 301(1), pages 318-333.
  15. Fallahi, F. & Bakir, I. & Yildirim, M. & Ye, Z., 2022. "A chance-constrained optimization framework for wind farms to manage fleet-level availability in condition based maintenance and operations," Renewable and Sustainable Energy Reviews, Elsevier, vol. 168(C).
  16. Ran Ji & Miguel A. Lejeune, 2018. "Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints," Annals of Operations Research, Springer, vol. 262(2), pages 547-578, March.
  17. Mohammad Seydali Seyf Abad & Jin Ma & Ahmad Shabir Ahmadyar & Hesamoddin Marzooghi, 2018. "Distributionally Robust Distributed Generation Hosting Capacity Assessment in Distribution Systems," Energies, MDPI, vol. 11(11), pages 1-19, November.
  18. I. Bremer & R. Henrion & A. Möller, 2015. "Probabilistic constraints via SQP solver: application to a renewable energy management problem," Computational Management Science, Springer, vol. 12(3), pages 435-459, July.
  19. Mónica López-Campos & Pablo Escalona & Alejandro Angulo & Francisca Recabarren & Raúl Stegmaier, 2024. "On the Number of Customer Classes in a Single-Period Inventory System," Mathematics, MDPI, vol. 12(10), pages 1-22, May.
  20. Jianqiang Cheng & Richard Li-Yang Chen & Habib N. Najm & Ali Pinar & Cosmin Safta & Jean-Paul Watson, 2018. "Chance-constrained economic dispatch with renewable energy and storage," Computational Optimization and Applications, Springer, vol. 70(2), pages 479-502, June.
  21. Alberto Santis & Tommaso Giovannelli & Stefano Lucidi & Mauro Messedaglia & Massimo Roma, 2023. "A simulation-based optimization approach for the calibration of a discrete event simulation model of an emergency department," Annals of Operations Research, Springer, vol. 320(2), pages 727-756, January.
  22. Amarjit Budhiraja & Shu Lu & Yang Yu & Quoc Tran-Dinh, 2021. "Minimization of a class of rare event probabilities and buffered probabilities of exceedance," Annals of Operations Research, Springer, vol. 302(1), pages 49-83, July.
  23. Feng Shan & Liwei Zhang & Xiantao Xiao, 2014. "A Smoothing Function Approach to Joint Chance-Constrained Programs," Journal of Optimization Theory and Applications, Springer, vol. 163(1), pages 181-199, October.
  24. Bowen Li & Ruiwei Jiang & Johanna L. Mathieu, 2022. "Integrating unimodality into distributionally robust optimal power flow," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 594-617, October.
  25. Patrizia Beraldi & Maria Bruni & Antonio Violi, 2012. "Capital rationing problems under uncertainty and risk," Computational Optimization and Applications, Springer, vol. 51(3), pages 1375-1396, April.
  26. Ming Liu & Xin Liu & Maoran Zhu & Feifeng Zheng, 2019. "Stochastic Drone Fleet Deployment and Planning Problem Considering Multiple-Type Delivery Service," Sustainability, MDPI, vol. 11(14), pages 1-18, July.
  27. Holger Berthold & Holger Heitsch & René Henrion & Jan Schwientek, 2022. "On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(1), pages 1-37, August.
  28. Musa Çağlar & Sinan Gürel, 2024. "Public R &D project portfolio selection under expenditure uncertainty," Annals of Operations Research, Springer, vol. 341(1), pages 375-399, October.
  29. Zhuqi Miao & Balabhaskar Balasundaram & Eduardo L. Pasiliao, 2014. "An exact algorithm for the maximum probabilistic clique problem," Journal of Combinatorial Optimization, Springer, vol. 28(1), pages 105-120, July.
  30. Yi Zhao & Qingwan Xue & Xi Zhang, 2018. "Stochastic Empty Container Repositioning Problem with CO 2 Emission Considerations for an Intermodal Transportation System," Sustainability, MDPI, vol. 10(11), pages 1-24, November.
  31. Rezapour, Shabnam & Srinivasan, Ramakrishnan & Tew, Jeffrey & Allen, Janet K. & Mistree, Farrokh, 2018. "Correlation between strategic and operational risk mitigation strategies in supply networks," International Journal of Production Economics, Elsevier, vol. 201(C), pages 225-248.
  32. Saldanha-da-Gama, Francisco, 2022. "Facility Location in Logistics and Transportation: An enduring relationship," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 166(C).
  33. Reich, Daniel, 2013. "A linear programming approach for linear programs with probabilistic constraints," European Journal of Operational Research, Elsevier, vol. 230(3), pages 487-494.
  34. Wang, Tingsong & Meng, Qiang & Wang, Shuaian & Tan, Zhijia, 2013. "Risk management in liner ship fleet deployment: A joint chance constrained programming model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 60(C), pages 1-12.
  35. Reus, Lorenzo & Pagnoncelli, Bernardo & Armstrong, Margaret, 2019. "Better management of production incidents in mining using multistage stochastic optimization," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  36. Algo Carè & Simone Garatti & Marco C. Campi, 2014. "FAST---Fast Algorithm for the Scenario Technique," Operations Research, INFORMS, vol. 62(3), pages 662-671, June.
  37. Carrillo-Galvez, Adrian & Flores-Bazán, Fabián & Parra, Enrique López, 2022. "Effect of models uncertainties on the emission constrained economic dispatch. A prediction interval-based approach," Applied Energy, Elsevier, vol. 317(C).
  38. Tanner, Matthew W. & Ntaimo, Lewis, 2010. "IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation," European Journal of Operational Research, Elsevier, vol. 207(1), pages 290-296, November.
  39. Shanshan Wang & Jinlin Li & Sanjay Mehrotra, 2021. "Chance-Constrained Multiple Bin Packing Problem with an Application to Operating Room Planning," INFORMS Journal on Computing, INFORMS, vol. 33(4), pages 1661-1677, October.
  40. van der Laan, Niels & Teunter, Ruud H. & Romeijnders, Ward & Kilic, Onur A., 2022. "The data-driven newsvendor problem: Achieving on-target service-levels using distributionally robust chance-constrained optimization," International Journal of Production Economics, Elsevier, vol. 249(C).
  41. Zhang, Lele & Ding, Pengyuan & Thompson, Russell G., 2023. "A stochastic formulation of the two-echelon vehicle routing and loading bay reservation problem," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 177(C).
  42. Martin Branda & Jitka Dupačová, 2012. "Approximation and contamination bounds for probabilistic programs," Annals of Operations Research, Springer, vol. 193(1), pages 3-19, March.
  43. Raffaello Seri & Christine Choirat, 2013. "Scenario Approximation of Robust and Chance-Constrained Programs," Journal of Optimization Theory and Applications, Springer, vol. 158(2), pages 590-614, August.
  44. Wang, Tingsong & Tian, Xuecheng & Wang, Yadong, 2020. "Container slot allocation and dynamic pricing of time-sensitive cargoes considering port congestion and uncertain demand," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 144(C).
  45. Hadi Karimi & Sandra D. Ekşioğlu & Michael Carbajales-Dale, 2021. "A biobjective chance constrained optimization model to evaluate the economic and environmental impacts of biopower supply chains," Annals of Operations Research, Springer, vol. 296(1), pages 95-130, January.
  46. Algo Carè & Simone Garatti & Marco C. Campi, 2019. "The wait-and-judge scenario approach applied to antenna array design," Computational Management Science, Springer, vol. 16(3), pages 481-499, July.
  47. Yihsu Chen & Andrew L. Liu & Makoto Tanaka & Ryuta Takashima, 2022. "Optimal Retail Tariff Design with Prosumers: Pursuing Equity at the Expenses of Economic Efficiencies?," Papers 2209.14505, arXiv.org.
  48. Khalid Alqunun & Tawfik Guesmi & Abdullah F. Albaker & Mansoor T. Alturki, 2020. "Stochastic Unit Commitment Problem, Incorporating Wind Power and an Energy Storage System," Sustainability, MDPI, vol. 12(23), pages 1-17, December.
  49. Zheng Zhang & Brian T. Denton & Xiaolan Xie, 2020. "Branch and Price for Chance-Constrained Bin Packing," INFORMS Journal on Computing, INFORMS, vol. 32(3), pages 547-564, July.
  50. Wissam AlAli & c{C}au{g}{i}n Ararat, 2024. "Systemic values-at-risk and their sample-average approximations," Papers 2408.08511, arXiv.org.
  51. Hu, Shaolong & Dong, Zhijie Sasha & Dai, Rui, 2024. "A machine learning based sample average approximation for supplier selection with option contract in humanitarian relief," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 186(C).
  52. Chardy, Matthieu & Klopfenstein, Olivier, 2012. "Handling uncertainties in vehicle routing problems through data preprocessing," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 48(3), pages 667-683.
  53. Yongjia Song & James R. Luedtke & Simge Küçükyavuz, 2014. "Chance-Constrained Binary Packing Problems," INFORMS Journal on Computing, INFORMS, vol. 26(4), pages 735-747, November.
  54. Deza, Antoine & Huang, Kai & Metel, Michael R., 2015. "Chance constrained optimization for targeted Internet advertising," Omega, Elsevier, vol. 53(C), pages 90-96.
  55. Emelogu, Adindu & Chowdhury, Sudipta & Marufuzzaman, Mohammad & Bian, Linkan & Eksioglu, Burak, 2016. "An enhanced sample average approximation method for stochastic optimization," International Journal of Production Economics, Elsevier, vol. 182(C), pages 230-252.
  56. Ebenezer Fiifi Emire Atta Mills & Bo Yu & Kailin Zeng, 2019. "Satisfying Bank Capital Requirements: A Robustness Approach in a Modified Roy Safety-First Framework," Mathematics, MDPI, vol. 7(7), pages 1-20, July.
  57. Sharan Srinivas & A. Ravi Ravindran, 2020. "Designing schedule configuration of a hybrid appointment system for a two-stage outpatient clinic with multiple servers," Health Care Management Science, Springer, vol. 23(3), pages 360-386, September.
  58. Fontem, Belleh & Smith, Jeremiah, 2019. "Analysis of a chance-constrained new product risk model with multiple customer classes," European Journal of Operational Research, Elsevier, vol. 272(3), pages 999-1016.
  59. Lamas, Patricio & Goycoolea, Marcos & Pagnoncelli, Bernardo & Newman, Alexandra, 2024. "A target-time-windows technique for project scheduling under uncertainty," European Journal of Operational Research, Elsevier, vol. 314(2), pages 792-806.
  60. Xide Zhu & Peijun Guo, 2020. "Bilevel programming approaches to production planning for multiple products with short life cycles," 4OR, Springer, vol. 18(2), pages 151-175, June.
  61. Jiang, Jie & Peng, Shen, 2024. "Mathematical programs with distributionally robust chance constraints: Statistical robustness, discretization and reformulation," European Journal of Operational Research, Elsevier, vol. 313(2), pages 616-627.
  62. G. Pantuso & L. M. Hvattum, 2021. "Maximizing performance with an eye on the finances: a chance-constrained model for football transfer market decisions," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(2), pages 583-611, July.
  63. Yan Gu & Jianlin Jiang & Shun Zhang, 2023. "Distributionally robust Weber problem with uncertain demand," Computational Optimization and Applications, Springer, vol. 85(3), pages 705-752, July.
  64. Alexandre Street, 2010. "On the Conditional Value-at-Risk probability-dependent utility function," Theory and Decision, Springer, vol. 68(1), pages 49-68, February.
  65. Garrido, Rodrigo A. & Lamas, Patricio & Pino, Francisco J., 2015. "A stochastic programming approach for floods emergency logistics," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 75(C), pages 18-31.
  66. Qiushi Chen & Lei Zhao & Jan C. Fransoo & Zhe Li, 2019. "Dual-mode inventory management under a chance credit constraint," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 41(1), pages 147-178, March.
  67. Yi Zhao & Ronghui Liu & Xi Zhang & Anthony Whiteing, 2018. "A chance-constrained stochastic approach to intermodal container routing problems," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-22, February.
  68. Demir, Emrah & Burgholzer, Wolfgang & Hrušovský, Martin & Arıkan, Emel & Jammernegg, Werner & Woensel, Tom Van, 2016. "A green intermodal service network design problem with travel time uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 93(PB), pages 789-807.
  69. Weijun Xie & Shabbir Ahmed, 2020. "Bicriteria Approximation of Chance-Constrained Covering Problems," Operations Research, INFORMS, vol. 68(2), pages 516-533, March.
  70. Sergey V. Ivanov & Andrey I. Kibzun & Nenad Mladenović & Dragan Urošević, 2019. "Variable neighborhood search for stochastic linear programming problem with quantile criterion," Journal of Global Optimization, Springer, vol. 74(3), pages 549-564, July.
  71. Chen, Zhen & Archibald, Thomas W., 2024. "Maximizing the survival probability in a cash flow inventory problem with a joint service level constraint," International Journal of Production Economics, Elsevier, vol. 270(C).
  72. Jitka Dupačová & Miloš Kopa, 2012. "Robustness in stochastic programs with risk constraints," Annals of Operations Research, Springer, vol. 200(1), pages 55-74, November.
  73. Hadi Charkhgard & Mahdi Takalloo & Zulqarnain Haider, 2020. "Bi-objective autonomous vehicle repositioning problem with travel time uncertainty," 4OR, Springer, vol. 18(4), pages 477-505, December.
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