On probabilistic constraints induced by rectangular sets and multivariate normal distributions

DOI10.1007/s00186-010-0316-3zbMath1198.90309OpenAlexW2162708400MaRDI QIDQ992049

Andris Möller, Riadh Zorgati, René Henrion, 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

zbMATH Keywords

stochastic programmingchance constraintsprobabilistic constraintswater reservoir managementderivative of probabilities of rectangles

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

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Uses Software

• QSIMVN

Cites Work

• Computation of multivariate normal and \(t\) probabilities
• Three digit accurate multiple normal probabilities
• Derivatives of probability functions and some applications
• Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function
• Unnamed Item

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