Role of Dependence in Chance-constrained and Robust Programming
نویسندگان
چکیده
منابع مشابه
Role of Dependence in Chance-constrained and Robust Programming
The paper deals with two methods of solving optimization programs whereuncertainties occur: stochastic (in particular chance-constrained) programming androbust programming. We review briefly how these two methods deal with uncertaintyand what approximations are commonly used. Furthermore, we are concentrated onapproximations based on sample sets where some type of weak dependenc...
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In chance-constrained optimization problems, a solution is assumed to be feasible only with certain, sufficiently high probability. For computational and theoretical purposes, the convexity property of the resulting constraint set is treated. It is known, for example, that a suitable combination of a concavity property of the probability distribution and concavity of constraint mappings are suf...
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ژورنال
عنوان ژورنال: Acta Oeconomica Pragensia
سال: 2007
ISSN: 0572-3043,1804-2112
DOI: 10.18267/j.aop.80