A robust approach to the chance-constrained knapsack problem

Olivier Klopfenstein (olivier.klopfensteinfrancetelecom.com)
Dritan Nace (naceutc.fr)

Abstract: Chance-constrained programming is a relevant model for many concrete problems. However, it is known to be very hard to tackle directly. In this paper, the chance-constrained knapsack problem (CKP) is addressed. Relying on the recent advances in robust optimization, a tractable combinatorial algorithm is proposed to solve CKP. It always provides feasible solutions for CKP. Moreover, for two specific classes of uncertain knapsack problems, it is proved to solve CKP at optimality.

Keywords: knapsack problem; robust optimization; chance-constrained optimization

Category 1: Integer Programming (0-1 Programming )

Category 2: Stochastic Programming

Category 3: Robust Optimization

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Entry Submitted: 03/06/2006
Entry Accepted: 03/06/2006
Entry Last Modified: 06/06/2006

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