Decomposition of nonlinear chance-constrained programming problems by dynamic programming

DOI10.1016/0022-247X(76)90018-4zbMath0363.93050OpenAlexW2079868327MaRDI QIDQ1240707

Katsuhisa Ohno, Hisashi Mine, Masao Fukushima

Publication date: 1976

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(76)90018-4

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Hamilton-Jacobi theories (49L99)

Cites Work

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• Multilevel decomposition of nonlinear programming problems by dynamic programming
• Decomposition of mathematical programming problems by dynamic programming and its application to block-diagonal geometric programms
• An acceptance region theory for chance-constrained programming
• Chance-Constrained Programming with Joint Constraints
• Dynamic Programming with Linear Uncertainty
• Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints