Abstract
In this paper we extend the Stochastic Branch and Bound Method, developed in [7], [8] for stochastic integer and global optimization problems, to optimization problems with stochastic (expectation or chance) constraints. As examples we solve a problem of optimization of probabilities and a chance constrained programming problem with discrete decision variables.
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© 1998 Springer-Verlag Berlin Heidelberg
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Norkin, V. (1998). Global Optimization of Probabilities by the Stochastic Branch and Bound Method. In: Marti, K., Kall, P. (eds) Stochastic Programming Methods and Technical Applications. Lecture Notes in Economics and Mathematical Systems, vol 458. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-45767-8_11
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DOI: https://doi.org/10.1007/978-3-642-45767-8_11
Publisher Name: Springer, Berlin, Heidelberg
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