Matteo Petris – Optimization Online

On Multi-Disjunctive Valid Inequalities for Chance-Constrained Stochastic Problems with Finite Support

Published: 2025/05/26, Updated: 2026/05/04

(Mixed) Integer Linear Programming, Stochastic Programming chance constraints, Closures, Mixed-Integer Linear Optimization, stochastic optimization, valid inequalities

We consider mixed-integer linear chance-constrained problems for which the random vector that parameterizes the feasible region has finite support. Our key objective is to improve branch-and-bound or -cut approaches by introducing new types of valid inequalities that improve the dual bound and, by this, the overall performance of such methods. We introduce so-called multi-disjunctive valid … Read more

Exact and Heuristic Solution Techniques for Mixed-Integer Quantile Minimization Problems

Published: 2021/11/08, Updated: 2023/07/04

(Mixed) Integer Linear Programming, Applications - Science and Engineering, Stochastic Programming Adaptive Clustering, mixed integer optimization, Quantile Minimization, valid inequalities, Value-at-Risk (VaR)

We consider mixed-integer linear quantile minimization problems that yield large-scale problems that are very hard to solve for real-world instances. We motivate the study of this problem class by two important real-world problems: a maintenance planning problem for electricity networks and a quantile-based variant of the classic portfolio optimization problem. For these problems, we develop … Read more