Matteo Petris

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

  • Diego Cattaruzza
  • Martine LabbĂ©
  • Matteo Petris
  • Marius Roland
  • Martin Schmidt
    • Categories (Mixed) Integer Linear Programming, Stochastic Programming Tags , , , ,

    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 bounds and, by this, the overall performance of such methods. We introduce so-called primal-dual as … Read more

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

  • Diego Cattaruzza
  • Martine LabbĂ©
  • Matteo Petris
  • Marius Roland
  • Martin Schmidt
    • Categories (Mixed) Integer Linear Programming, Applications - Science and Engineering, Stochastic Programming Tags , , , ,

    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