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Easy distributions for combinatorial optimization problems with probabilistic constraints

par Fortz, Bernard ;Poss, Michaël
Référence Operations research letters, 38, page (545-549)
Publication Publié, 2010

Article révisé par les pairs

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Résumé :

We show how we can linearize individual probabilistic linear constraints with binary variables when all coefficients are independently distributed according to either N(μi,λμi), for some λ>0 and μi>0, or Γ(ki,θ) for some θ>0 and ki>0. The constraint can also be linearized when the coefficients are independent and identically distributed and either positive or strictly stable random variables. © 2010 Elsevier B.V. All rights reserved.