Uniform quasi-concavity in probabilistic constrained stochastic programming

DOI10.1016/J.ORL.2011.03.007MaRDI QIDQ635508zbMATH OpenOpenAlexFDO

Authors Kunikazu Yoda, Munevver Mine Subasi, András Prékopa

Publication date 19 August 2011

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2011.03.007

zbMATH Keywords

stochastic programmingprobabilistic constraintportfolio constructionquasi-concavity

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• scientific article; zbMATH DE number 4031400
• Sufficient conditions for quasiconcavity of the probability function
• Problems in stochastic programming with probabilistic criteria
• On properties of the probabilistic contrained linear programming problem and its dual
• scientific article; zbMATH DE number 3847225

Cites work

• scientific article; zbMATH DE number 4083369 (Why is no real title available?)
• scientific article; zbMATH DE number 1187131 (Why is no real title available?)
• scientific article; zbMATH DE number 2121076 (Why is no real title available?)
• scientific article; zbMATH DE number 772850 (Why is no real title available?)
• A Stochastic Programming Model
• A branch and bound method for stochastic integer problems under probabilistic constraints
• An integer programming approach for linear programs with probabilistic constraints
• Concavity and efficient points of discrete distributions in probabilistic programming.
• Convexity of chance constraints with independent random variables
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• Programming under probabilistic constraints with a random technology matrix
• Solving stochastic programming problems by successive regression approximations -- numerical results
• Stochastic linear programming. Models, theory, and computation

Cited in

(11)

• Analysis of a chance-constrained new product risk model with multiple customer classes
• Preference-based reinforcement learning: evolutionary direct policy search using a preference-based racing algorithm
• Threshold Boolean form for joint probabilistic constraints with random technology matrix
• Second order conic approximation for disassembly line design with joint probabilistic constraints
• Multistage stochastic programs via autoregressive sequences and individual probability constraints
• Convex properties of the quantile function in stochastic programming
• Arc routing under uncertainty: introduction and literature review
• Sufficient conditions for quasiconcavity of the probability function
• On approximation in multistage stochastic programs: Markov dependence
• Uniformly monotone functions -- definition, properties, characterizations
• scientific article; zbMATH DE number 4031400 (Why is no real title available?)

This page was built for publication: Uniform quasi-concavity in probabilistic constrained stochastic programming

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q635508)