Stochastic programming problems with generalized integrated chance constraints

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10103319" target="_blank" >RIV/00216208:11320/12:10103319 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/12:00381903

Result on the web

<a href="http://www.tandfonline.com/doi/abs/10.1080/02331934.2011.587007" target="_blank" >http://www.tandfonline.com/doi/abs/10.1080/02331934.2011.587007</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/02331934.2011.587007" target="_blank" >10.1080/02331934.2011.587007</a>

Result language

angličtina

Original language name

Stochastic programming problems with generalized integrated chance constraints

Original language description

We propose an alternative formulation of stochastic programs using penalty functions. The expectations of penalties can be left as constraints leading to generalized integrated chance constraints, or incorporated into the objective as a penalty term. Weshow that the penalty problems are asymptotically equivalent under quite mild conditions. We discuss applications of sample-approximation techniques to the problems with generalized integrated chance constraints and propose rates of convergence for the set of feasible solutions.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

<a href="/en/project/GAP402%2F10%2F1610" target="_blank" >GAP402/10/1610: Rational Decision Making at Markets with Asynchronous Trading: Theory and Emprical Evidence</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Optimization

ISSN

0233-1934

e-ISSN

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Volume of the periodical

61

Issue of the periodical within the volume

8

Country of publishing house

GB - UNITED KINGDOM

Number of pages

21

Pages from-to

949-968

UT code for WoS article

000299507600002

EID of the result in the Scopus database

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