Chance constrained problems: penalty reformulation and performance of sample approximation technique

MaRDI QIDQ2893936zbMATH OpenFDO

Authors Martin Branda

Publication date 26 June 2012

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/246573, http://www.kybernetika.cz/content/2012/1/105

zbMATH Keywords

asymptotic equivalencepenalty functionsinvestment problemchance constrained problemssample approximation technique

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Identification in stochastic control theory (93E12)

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Cites work

• scientific article; zbMATH DE number 995813 (Why is no real title available?)
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• Applications of Stochastic Programming
• Approximative solutions of stochastic optimization problems
• Contributions to the theory of stochastic programming
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• Numerical Optimization
• Optimum beam design via stochastic programming
• Robustness in stochastic programs with risk constraints
• Sample average approximation method for chance constrained programming: Theory and applications
• Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks
• Stochastic programming in water management: A case study and a comparison of solution techniques
• Stochastic programming problems with generalized integrated chance constraints
• Uncertain convex programs: randomized solutions and confidence levels

Cited in

(12)

• Stochastic programming problems with generalized integrated chance constraints
• A provisioning problem with stochastic payments
• Second order conic approximation for disassembly line design with joint probabilistic constraints
• Exact penalization in stochastic programming -- calmness and constraint qualification
• Optimizing financial and physical assets with chance-constrained programming in the electrical industry
• The penalized profile sampler
• A gradient-based method for joint chance-constrained optimization with continuous distributions
• Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
• Reformulations of input-output oriented DEA tests with diversification
• scientific article; zbMATH DE number 6160116 (Why is no real title available?)
• Solving chance-constrained optimization problems with stochastic quadratic inequalities
• On relations between chance constrained and penalty function problems under discrete distributions

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