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α-Conservative approximation for probabilistically constrained convex programs

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  • Yuichi Takano

    ()

  • Jun-ya Gotoh

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10589-008-9178-5
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    Article provided by Springer in its journal Computational Optimization and Applications.

    Volume (Year): 46 (2010)
    Issue (Month): 1 (May)
    Pages: 113-133

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    Handle: RePEc:spr:coopap:v:46:y:2010:i:1:p:113-133
    Contact details of provider: Web page: http://www.springer.com

    Order Information: Web: http://www.springer.com/math/journal/10589

    Keywords: Chance constraint; D.C. optimization; Branch-and-bound; Value-at-risk minimization; Probabilistically constrained program;

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    1. Manfred Gilli & Evis Këllezi & Hilda Hysi, . "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Swiss Finance Institute Research Paper Series 06-02, Swiss Finance Institute.
    2. A. Charnes & W. W. Cooper & G. H. Symonds, 1958. "Cost Horizons and Certainty Equivalents: An Approach to Stochastic Programming of Heating Oil," Management Science, INFORMS, vol. 4(3), pages 235-263, April.
    3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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