On joint probabilistic constraints with Gaussian coefficient matrix
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Publication:2275572
DOI10.1016/j.orl.2011.01.005zbMath1218.90147MaRDI QIDQ2275572
Wim van Ackooij, Riadh Zorgati, Andris Möller, René Henrion
Publication date: 9 August 2011
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/9065
stochastic optimization; probabilistic programming; probabilistic constraint; chance constraint; energy portfolio optimization; Gaussian coefficient matrix gradient formula
90C15: Stochastic programming
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