Gianpiero Canessa (U. Adolfo Ibáñez): «An algorithm for binary chance-constrained problems using IIS»
Abstract: We propose an algorithm based on infeasible irreducible subsystems (IIS) to solve general binary chance-constrained problems. By leveraging on the problem structure we are able to generate good quality upper bounds to the optimal value early in the algorithm, and the discrete domain is used to guide us efficiently in the search of solutions….
