Chance constrained \(0-1\) quadratic programs using copulas

DOI10.1007/s11590-015-0854-yzbMath1332.90180MaRDI QIDQ499685

Abdel Lisser, Jianqiang Cheng, Michal Houda

Publication date: 6 October 2015

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-015-0854-y

zbMATH Keywords

stochastic programmingsemidefinite programmingjoint probabilistic constraints\(0-1\) quadratic programcopula theory

Mathematics Subject Classification ID

90C20: Quadratic programming

90C15: Stochastic programming

90C09: Boolean programming

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Uses Software

• SeDuMi
• CPLEX
• OR-Library

Cites Work

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