Pool & Discard Algorithm for Chance Constrained Optimization Problems
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In this paper, we describe an effective algorithm for handling chance constrained optimization problems, called the Pool & Discard algorithm. The algorithm utilizes the scenario approximation framework for chance constrained optimization problems, and the warm-start and problem modification features of modern solvers. The exploitation of the problem structure and efficient implementation allows us to considerably speed up the computations, especially for large instances, when compared with conventional methods.
Keywordschance constrained programming, scenario approximation, P&D algorithm, stochastic programming, constraint removal
Document typePeer reviewed
Document versionFinal PDF
SourceIEEE Access. 2020, vol. 8, issue 1, p. 79397-79407.