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. We apply our methodology to individual and joint binary chance-constrained problems, demonstrating the ability of our approach to solve those problems. Extensive numerical experiments show that, in some cases, the number of nodes explored by our algorithm is drastically reduced when compared to a commercial solver. Keywords: Chance-constrained programming; Infeasible irreducible subsystems; Integer programming.

About the speaker: Industrial Civil Engineer with a Master’s in Management Science, currently in the final year of the DIIIO doctoral program at UAI. I worked for a year in consulting and then had the opportunity to work on a research project funded by INRIA under the guidance of Dr. Javiera Barrera. Since then, I have dedicated my life to research and teaching, having found a passion I could not discover in industry. My future project is to try to be a bridge between industry and academia for Chile, as I believe this is the true path to development.

Date: Friday, July 20 2018, from 12:00-13:00.
Venue: Auditorio San Agustín, PUC, Campus San Joaquín