Weak Structural Dependence in Chance-Constrained Programming

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Weak Structural Dependence in Chance-Constrained Programming

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Weak Structural Dependence in Chance-Constrained Programming

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

IN - Informatika

OECD FORD obor

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Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2008

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

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Název nakladatele

Technická univerzita v Liberci

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

1. 1. 2008

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000260962300024