Tanner, Matthew W.; Ntaimo, Lewis - In: European Journal of Operational Research 207 (2010) 1, pp. 290-296
We present a new method for solving stochastic programs with joint chance constraints with random technology matrices and discretely distributed random data. The problem can be reformulated as a large-scale mixed 0-1 integer program. We derive a new class of optimality cuts called IIS cuts and...