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Chance-constrained Integer Programming Models for Capital Budgeting in Stochastic Environment
Author(s): 
Pages: 59-65
Year: Issue:  3
Journal: OPERATIONS RESEARCH TRANSACTIONS

Keyword:  Operation researchcapital budgetingstochastic programminggenetic algorithm;
Abstract: Based on the latest development on chance-constrained programming, two types of chance-constrained integer programming model for capital budgeting are given in the paper. A Monte Carlo simulation based genetic algorithm is designed for solving these models. Two numerical examples are presented to show the potential applications of the new models as well as the effectiveness of the proposed genetic algorithm.
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