A robust approach to the chance-constrained knapsack problem

Olivier Klopfenstein (1) , Dritan Nace (2)

1 France Télécom
2 Heudiasyc - Heuristique et Diagnostic des Systèmes Complexes [Compiègne]

In this paper, the chance-constrained knapsack problem (CKP) is addressed. Relying on robust optimization, a tractable combinatorial algorithm is proposed to solve approximately CKP. For two specific classes of uncertain knapsack problems, it is proved to solve CKP at optimality.

Mots clés: Robust optimization; Knapsack problem; Stochastic programming

Domaines: Recherche opérationnelle [math.OC]

Olivier Klopfenstein, Dritan Nace. A robust approach to the chance-constrained knapsack problem. Operations Research Letters, 2008, Volume 36 (Issue 5), pp.Pages 628-632. ⟨10.1016/j.orl.2008.03.006⟩. ⟨hal-00445483⟩