Mixed integer linear programming formulations for probabilistic constraints

作者：Vielma J P^*; Ahmed S; Nemhauser G L

来源：Operations Research Letters, 2012, 40(3): 153-158.

DOI：10.1016/j.orl.2012.01.007

• Mixed integer linear programming
• Formulations
• Probabilistic constraints
• Chance constraints

We introduce two new formulations for probabilistic constraints based on extended disjunctive formulations. Their strength results from considering multiple rows of the probabilistic constraints together. The properties of the first can be used to construct hierarchies of relaxations for probabilistic constraints, while the second provides computational advantages over other formulations.

• 出版日期2012-5