A Solution Procedure for a Modified P-Model with Special Reference to Mixed-Integer Programming

摘要

Charnes and Cooper distinguish three types of models: E model, V model and P-model of a chance-constrained programming, classified on the basis of the criterion function used. In this paper a modified P-model is formulated and it is shown how an approximate solution of such a problem can be obtained by solving a parametric convex quadratic programming problem. A mixed-integer programming problem is formulated as a modified P-model and the results are used in devising a solution procedure for any mixed-integer programming.