[BIL01] Résolution d'un programme stochastique par la programmation linéaire mixte

Conférence Internationale avec comité de lecture : FRANCORO III, Québec, January 2001,
Résumé: We study in this paper the 0-1 maximum probability model : max {P(cx>t) : Ax<=b, x belonging to {0,1}n} where c and x are n vectors, b is an m vector and A is an m x n matrix. c1,...,cn are supposed to be mutually independent and normally distributed random variables and t is a given constant. It is known that this problem can be formulated as a nonlinear fractional program. We show how to exactly solve it using mixed integer programming. The advantage of the approach is that it requires only standard, commercially available software. The computational results which we present show that this technique makes it possible to treat instances comprising up to 100 random variables in a few seconds of CPU time.

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@inproceedings {
title="{Résolution d'un programme stochastique par la programmation linéaire mixte}",
author=" A. Billionnet ",
booktitle="{FRANCORO III, Québec}",