Chance constrained problems: penalty reformulation and performance of sample approximation technique

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124546" target="_blank" >RIV/00216208:11320/12:10124546 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/12:00376766

Result on the web

<a href="http://www.kybernetika.cz/content/2012/1/105" target="_blank" >http://www.kybernetika.cz/content/2012/1/105</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Chance constrained problems: penalty reformulation and performance of sample approximation technique

Original language description

We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. The obtained problems with penalties and with a fixed set of feasible solutions are simpler to solve and analyze then the chance constrained programs. We discuss solving both problems using Monte-Carlo simulation techniques for the cases when the set of feasible solution is finiteor infinite bounded. The approach is applied to a financial optimization problem with Value at Risk constraint, transaction costs and integer allocations. We compare the ability to generate a feasible solution of the original chance constrained problem using the sample approximations of the chance constraints directly or via sample approximation of the penalty function objective.

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/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2012

Confidentiality

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

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

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Volume of the periodical

48

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

18

Pages from-to

105-122

UT code for WoS article

000301269800006

EID of the result in the Scopus database

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