Programming under probabilistic constraints with a random technology matrix

DOI10.1080/02331887408801151zbMATH Open0302.90043OpenAlexW2138739451MaRDI QIDQ4058828FDOQ4058828

András Prékopa

Publication date: 1974

Published in: Mathematische Operationsforschung Statistik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331887408801151

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Cited In (15)

• Multi-market portfolio optimization with conditional value at risk
• Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization
• Cell-and-bound algorithm for chance constrained programs with discrete distributions
• A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
• Threshold Boolean form for joint probabilistic constraints with random technology matrix
• Eventual convexity of probability constraints with elliptical distributions
• Title not available (Why is that?)
• IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation
• Handling CVaR objectives and constraints in two-stage stochastic models
• Uniform quasi-concavity in probabilistic constrained stochastic programming
• Convexity of chance constraints with independent random variables
• SLP-IOR: An interactive model management system for stochastic linear programs
• JOINT CHANCE CONSTRAINED PROGRAMMING WITH DEPENDENT PARAMETERS
• ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs
• Frameworks and results in distributionally robust optimization

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