TY - JOUR
T1 - Chance-constrained programming in activity networks
T2 - A critical evaluation
AU - Elmaghraby, Salah E.
AU - Soewandi, Hanijanto
AU - Yao, Ming-Jong
PY - 2001/6/1
Y1 - 2001/6/1
N2 - We review the chance-constrained programming (CCP) model for event realization in activity networks (ANs), and the more recent contribution to it by Kress, from the points of view of validity and accuracy. We present a classification scheme of stochastic programming and confirm that the CCP does not solve the problem of finding a point estimate that satisfies a required confidence level, and is of little help in determining the cumulative distribution function (c.d.f.) of the project completion time. We show that the CCP leads to an extremely weak lower bound (l.b.) on the exact c.d.f. A backtracking approach is proposed that improves this l.b. via the CCP, which is still too weak to be of any practical value. Finally, we utilize the CCP approach to derive a result due to Kress in a simpler and more direct way. We also demonstrate that the result itself, unfortunately, is of questionable validity.
AB - We review the chance-constrained programming (CCP) model for event realization in activity networks (ANs), and the more recent contribution to it by Kress, from the points of view of validity and accuracy. We present a classification scheme of stochastic programming and confirm that the CCP does not solve the problem of finding a point estimate that satisfies a required confidence level, and is of little help in determining the cumulative distribution function (c.d.f.) of the project completion time. We show that the CCP leads to an extremely weak lower bound (l.b.) on the exact c.d.f. A backtracking approach is proposed that improves this l.b. via the CCP, which is still too weak to be of any practical value. Finally, we utilize the CCP approach to derive a result due to Kress in a simpler and more direct way. We also demonstrate that the result itself, unfortunately, is of questionable validity.
KW - Activity networks
KW - Chance-constrained programming
UR - http://www.scopus.com/inward/record.url?scp=0035372223&partnerID=8YFLogxK
U2 - 10.1016/S0377-2217(00)00086-2
DO - 10.1016/S0377-2217(00)00086-2
M3 - Article
AN - SCOPUS:0035372223
VL - 131
SP - 440
EP - 458
JO - European Journal of Operational Research
JF - European Journal of Operational Research
SN - 0377-2217
IS - 2
ER -