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On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
Berthold, Holger; Heitsch, Holger; Henrion, René; … - In: Mathematical methods of operations research : ZOR 96 (2022) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10013454928
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A transformation-based discretization method for solving general semi-infinite optimization problems
Schwientek, Jan; Seidel, Tobias; Küfer, Karl-Heinz - In: Mathematical Methods of Operations Research 93 (2020) 1, pp. 83-114
Persistent link: https://www.econbiz.de/10014503892
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An agricultural investment problem subject to probabilistic constraints
El Karfi, Kawtar; Henrion, René; Mentagui, Driss - In: Computational management science 19 (2022) 4, pp. 683-701
Persistent link: https://www.econbiz.de/10013447501
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Convexity and solutions of stochastic multidimensional 0-1 knapsack problems with probabilistic constraints
Yoda, Kunikazu; Prékopa, András - In: Mathematics of operations research 41 (2016) 2, pp. 715-731
Persistent link: https://www.econbiz.de/10011520527
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A branch-and-cut algorithm for chance-constrained multiarea reserve sizing
Cho, Jehum; Papavasiliou, Anthony - 2022
Persistent link: https://www.econbiz.de/10013256121
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Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
Elçi, Özgün; Noyan, Nilay; Bülbül, Kerem - In: Computers & operations research : and their … 96 (2018), pp. 91-107
Persistent link: https://www.econbiz.de/10011870473
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On probabilistic constraints induced by rectangular sets and multivariate normal distributions
Ackooij, Wim Van; Henrion, René; Möller, Andris; … - In: Mathematical Methods of Operations Research 71 (2010) 3, pp. 535-549
In this paper, we consider optimization problems under probabilistic constraints which are defined by two-sided inequalities for the underlying normally distributed random vector. As a main step for an algorithmic solution of such problems, we prove a derivative formula for (normal)...
Persistent link: https://www.econbiz.de/10010999598
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Tight and compact sample average approximation for joint chance-constrained problems with applications to optimal power flow
Porras, Álvaro; Domínguez, Concepción; Morales, Juan M. - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 6, pp. 1454-1469
Persistent link: https://www.econbiz.de/10014471529
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On probabilistic constraints induced by rectangular sets and multivariate normal distributions
Ackooij, Wim Van; Henrion, René; Möller, Andris; … - In: Computational Statistics 71 (2010) 3, pp. 535-549
In this paper, we consider optimization problems under probabilistic constraints which are defined by two-sided inequalities for the underlying normally distributed random vector. As a main step for an algorithmic solution of such problems, we prove a derivative formula for (normal)...
Persistent link: https://www.econbiz.de/10010759197
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The Riesz representation theorem and weak∗ compactness of semimartingales
Kiiski, Matti - In: Finance and Stochastics 24 (2020) 4, pp. 827-870
We show that the sequential closure of a family of probability measures on the canonical space of càdlàg paths satisfying Stricker’s uniform tightness condition is a weak∗ compact set of semimartingale measures in the dual pairing of bounded continuous functions and Radon measures, that...
Persistent link: https://www.econbiz.de/10014503834