On probabilistic constraints induced by rectangular sets and multivariate normal distributions
DOI10.1007/S00186-010-0316-3zbMATH Open1198.90309OpenAlexW2162708400MaRDI QIDQ992049FDOQ992049
Authors: René Henrion, Andris Möller, Riadh Zorgati, Wim van Ackooij 
Publication date: 8 September 2010
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/9056
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Cites Work
- Computation of multivariate normal and \(t\) probabilities
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- Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function
- Derivatives of probability functions and some applications
- Three digit accurate multiple normal probabilities
Cited In (24)
- Level bundle methods for constrained convex optimization with various oracles
- Large-scale unit commitment under uncertainty: an updated literature survey
- Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
- Divide to conquer: decomposition methods for energy optimization
- Short sales in log-robust portfolio management
- Convexity and optimization with copulæ structured probabilistic constraints
- A comparison of four approaches from stochastic programming for large-scale unit-commitment
- A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
- Probabilistic constraints via SQP solver: application to a renewable energy management problem
- Second-order differentiability of probability functions
- A model for dynamic chance constraints in hydro power reservoir management
- Large-scale unit commitment under uncertainty
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- Joint chance constrained programming for hydro reservoir management
- On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
- Rectangular chance constrained geometric optimization
- Global probability maximization for a Gaussian bilateral inequality in polynomial time
- Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
- Robot Dance: a mathematical optimization platform for intervention against COVID-19 in a complex network
- On joint probabilistic constraints with Gaussian coefficient matrix
- On convex lower-level black-box constraints in bilevel optimization with an application to gas market models with chance constraints
- A gradient formula for linear chance constraints under Gaussian distribution
- Non-smooth DC-constrained optimization: constraint qualification and minimizing methodologies
- On the correct extension of a problem of selecting the probability density under constraints on a system of mathematical expectations
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