Uniform quasi-concavity in probabilistic constrained stochastic programming

DOI10.1016/J.ORL.2011.03.007MaRDI QIDQ635508zbMATHOpenAlexFDO

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)

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(11)

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• Uniformly monotone functions -- definition, properties, characterizations
• On approximation in multistage stochastic programs: Markov dependence
• Analysis of a chance-constrained new product risk model with multiple customer classes
• Arc routing under uncertainty: introduction and literature review
• Second order conic approximation for disassembly line design with joint probabilistic constraints
• Convex properties of the quantile function in stochastic programming
• Sufficient conditions for quasiconcavity of the probability function

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