A simulated annealing approach for reliability-based chance-constrained programming
Article first published online: 16 OCT 2013
Copyright © 2013 John Wiley & Sons, Ltd.
Applied Stochastic Models in Business and Industry
Volume 30, Issue 4, pages 497–508, July/August 2014
How to Cite
2014), A simulated annealing approach for reliability-based chance-constrained programming, Appl. Stochastic Models Bus. Ind., 30, pages 497–508, doi: 10.1002/asmb.2000(
- Issue published online: 11 AUG 2014
- Article first published online: 16 OCT 2013
- Manuscript Revised: 11 SEP 2013
- Manuscript Accepted: 11 SEP 2013
- Manuscript Received: 6 MAR 2013
- stochastic programming;
- simulated annealing;
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.