Chance-Constrained Programming Method of IT Risk Countermeasures for Social Consensus Making

The authors address a social consensus making support in discussing countermeasures for information technology risks (IT risks). For supporting stakeholders' discussion on which IT risk countermeasures the stakeholders should implement, experts of the risk management estimate parameter values of the countermeasure, define a goal and constraints, and formulate the decision problem of the countermeasures to be implemented as one of 0-1 integer programming problems. Because parameter values and constraint values are uncertain, the decision problem is reformulated as a chance-constrained programming problem. The sample average approximation method is a well-known method for solving the chance-constrained programming problem. However, the computational time is still so long that the opinion leaders cannot use a solution of the chance-constrained programming problem in their discussion. The authors propose a high-speed chance-constrained programming method by aggregating the constraints that are generated by approximation of the problem in the sample average method. By applying the proposed method to real decision problems, the authors confirmed that computational time is decreased to 1 min while obtaining the same error rate and the same rate of the feasible solutions as a conventional method.

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