On two-stage convex chance constrained problems
نویسندگان
چکیده
منابع مشابه
CORC Technical Report TR-2005-06 On two-stage convex chance constrained problems
In this paper we develop approximation algorithms for two-stage convex chance constrained problems. Nemirovski and Shapiro [18] formulated this class of problems and proposed an ellipsoid-like iterative algorithm for the special case where the impact function f(x,h) is bi-affine. We show that this algorithm extends to bi-convex f(x,h) in a fairly straightforward fashion. The complexity of the s...
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ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2006
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-006-0104-2