Joint dynamic probabilistic constraints with projected linear decision rules

DOI10.1080/10556788.2016.1233972zbMath1386.90090arXiv1601.05238OpenAlexW2963239397MaRDI QIDQ4594843

René Henrion, Vincent Guigues

Publication date: 24 November 2017

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.05238

zbMATH Keywords

linear decision rulesmultistage stochastic linear programsdynamic probabilistic constraints

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Stochastic programming (90C15)

Related Items (4)

On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ Constant depth decision rules for multistage optimization under uncertainty ⋮ Dynamic probabilistic constraints under continuous random distributions

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