On relations between chance constrained and penalty function problems under discrete distributions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10127887" target="_blank" >RIV/00216208:11320/13:10127887 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s00186-013-0428-7" target="_blank" >http://dx.doi.org/10.1007/s00186-013-0428-7</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00186-013-0428-7" target="_blank" >10.1007/s00186-013-0428-7</a>

Result language
angličtina
Original language name
On relations between chance constrained and penalty function problems under discrete distributions
Original language description
We extend the theory of penalty functions to stochastic programming problems with nonlinear inequality constraints dependent on a random vector with known distribution. We show that the problems with penalty objective, penalty constraints and chance constraints are asymptotically equivalent under discretely distributed random parts. We propose bounds on optimal values and convergence of optimal solutions. Moreover, we apply exact penalization under modified calmness property to improve the results.
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—

Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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