A joint chance-constrained programming model with row dependence
type: Item
instance of: scholarly article
title: A joint chance-constrained programming model with row dependence
zbMATH Open document ID: 0834.90100
DOI: 10.1016/0377-2217(94)90376-X
author: Tsunemi Watanabe
author: Hugh Ellis
published in: European Journal of Operational Research
publication date: 1996-04-01T00:00:00Z
review text: The authors present a rather extensive survey of results concerning the individual and joint probabilistic constraints and suggest to transform the problem with a joint probabilistic constraint and random technology matrix with arbitrarily dependent multinormal coefficients into a problem of maximization the joint probability with respect to constraints. They discuss evaluation of this objective and of its gradient and report numerical results. Their survey of the relevant past results is not complete, e.g., they do not include any quotation of the related papers by \textit{A. Prékopa} [Math. Operationsforsch. Stat., Ser. Optimization 5, 109-116 (1974; Zbl 0302.90043)].
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 639285
zbMATH Keywords: multinormal distribution
zbMATH Keywords: survey
zbMATH Keywords: joint probabilistic constraint
zbMATH Keywords: random technology matrix
reviewed by: Jitka Dupačová
describes a project that uses: MINOS
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 639285