Experimental study on the efficiency and accuracy of a chance-constrained programming algorithm
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Publication:789325
DOI10.1016/0377-2217(84)90289-3zbMath0532.90079OpenAlexW2024024745MaRDI QIDQ789325
Publication date: 1984
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0377-2217(84)90289-3
convergence analysisefficiencyaccuracyasymptotic errorexperimental studychance-constrained programming algorithm
Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15)
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The diversification of currency loans: A comparison between safety-first and mean-variance criteria ⋮ Evaluation of the accuracy of Naslund's approximation for managerial decision making under uncertainty ⋮ A linear approximation method for solving a special class of the chance constrained programming problem ⋮ Genetic algorithm based technique for solving chance constrained problems ⋮ Solving chance-constrained combinatorial problems to optimality
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