Uniform quasi-concavity in probabilistic constrained stochastic programming

DOI10.1016/j.orl.2011.03.007zbMath1219.90114OpenAlexW2057785395MaRDI QIDQ635508

Munevver Mine Subasi, Kunikazu Yoda, Prékopa, András

Publication date: 19 August 2011

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.03.007

zbMATH Keywords

stochastic programmingquasi-concavityprobabilistic constraintportfolio construction

Mathematics Subject Classification ID

Stochastic programming (90C15)

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• Programming under probabilistic constraints with a random technology matrix
• A branch and bound method for stochastic integer problems under probabilistic constraints
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• A Stochastic Programming Model
• Concavity and efficient points of discrete distributions in probabilistic programming.

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