On the mixing set with a knapsack constraint

The mixing set with a knapsack constraint arises as a substructure in mixed-integer programming reformulations of chance-constrained programs with stochastic right-hand-sides over a finite discrete distribution. Recently, Luedtke et al. (2010) and Küçükyavuz (2012) studied valid inequalities for such sets. However, most of their results were focused on the equal probabilities case (equivalently when the knapsack reduces to a cardinality constraint), with only minor results in the general case. In this paper, we focus on the general probabilities case (general knapsack constraint). We characterize the valid inequalities that do not come from the knapsack polytope and use this characterization to generalize the inequalities previously derived for the equal probabilities case. We also show that one can separate over a large class of inequalities in polynomial time.

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