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Mathematical Problems in Engineering
Volume 2012 (2012), Article ID 139271, 17 pages
http://dx.doi.org/10.1155/2012/139271
Research Article

A Novel Algorithm of Stochastic Chance-Constrained Linear Programming and Its Application

School of Management, University of Shanghai for Science and Technology, Shanghai 200093, China

Received 20 April 2011; Accepted 6 July 2011

Academic Editor: Zidong Wang

Copyright © 2012 Xiaodong Ding and Chengliang Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

The computation problem is discussed for the stochastic chance-constrained linear programming, and a novel direct algorithm, that is, simplex algorithm based on stochastic simulation, is proposed. The considered programming problem in this paper is linear programming with chance constraints and random coefficients, and therefore the stochastic simulation is an important implement of the proposed algorithm. By theoretical analysis, the theory basis of the proposed algorithm is obtained and, by numerical examples, the feasibility and validness of this algorithm are illustrated. The detailed algorithm procedure is given, which is easily converted into the executable codes of software tools. Then, we compare it with some algorithms to verify its superiority. Finally, a practical example is presented to show its practicability.