Optimization under rare events: scaling laws for linear chance-constrained programs

MaRDI QIDQ6736782arXivFDO

Authors Jose Blanchet, Joost Jorritsma, Bert Zwart

Publication date 2024

Published in arXiv

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Stochastic programming (90C15)

arXiv classification

math.OC

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