A linear programming approach for linear programs with probabilistic constraints
Heuristics for chance constrained programs with random right-hand side vectors. Efficient algorithms for scenarios with non-equal probabilities. Computational experiments compare against the best known exact solution methods. Near optimal solutions for problems that are currently intractable using MIP alone. Demonstrates where heuristics fail, highlighting the difficulty of solving CCPs.
linear programming heuristics chance constrained programming integer programming stochastic programming