Weak Structural Dependence in Chance-Constrained Programming

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60076658%3A12510%2F08%3A00012268" target="_blank" >RIV/60076658:12510/08:00012268 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Weak Structural Dependence in Chance-Constrained Programming
Original language description
In chance -constrained optimization problems, a solution is assumed to be feasible only with certain, sufficiently high probability. For computational and theoretical purposes, the convexity property of the resulting constraint set is treated. It is known, for example, that a suitable combination of a concavity property of the probability distribution and concavity of constraint mappings are sufficient conditions to the convexity of the resulting constraint set. Recently, new concavity condition of theprobability distribution - r-decreasing density - has been developed. Henrion and Strugarek (2006) show, under the assumption of independence of connstraint rows, that this condition on marginal densities allows us, on the other side, weaken the concavity of constraint mappings. In this contribution we present a relaxation of the independence assumption in favour of a specific weak-dependence condition. If the independence assumption is not fulfiled, the resulting constraint set is not d
Czech name
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Czech description
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Publication year
2008
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 26th International conference Mathematical Methods in Economics 2008
ISBN
978-80-7372-387-3
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Technická univerzita v Liberci
Place of publication
Liberec
Event location
Liberec
Event date
Jan 1, 2008
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000260962300024

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