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A simulated annealing approach for reliability‐based chance‐constrained programming

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  • Ümit Sami Sakalli

Abstract

The chance‐constrained programming (CCP) is a well‐known and widely used stochastic programming approach. In the CCP approach, determining the confidence levels of the constraints at the beginning of solution process is a critical issue for optimality. On one hand, it is possible to obtain better solutions at different confidence levels. On the other hand, the decision makers prefer to simplify their choices instead of grappling with the details such as determining confidence levels for all chance constraints. Reliability is an effective tool that enables the decision maker to look over the system integrity. In this paper, the CCP is considered as a reliability‐based nonlinear multiobjective model, and a simulated annealing (SA) algorithm is developed to solve the model. The SA represents different solution alternatives at the different reliability degrees to the decision makers by performing different confidence levels. Thus, the decision makers have the opportunity to make more effective decisions. Copyright © 2013 John Wiley & Sons, Ltd.

Suggested Citation

  • Ümit Sami Sakalli, 2014. "A simulated annealing approach for reliability‐based chance‐constrained programming," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(4), pages 497-508, July.
    • Handle: RePEc:wly:apsmbi:v:30:y:2014:i:4:p:497-508
    DOI: 10.1002/asmb.2000
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