Robustness Analysis of Stochastic Programs with Joint Probabilistic Constraints - System Modeling and Optimization Access content directly
Conference Papers Year : 2013

Robustness Analysis of Stochastic Programs with Joint Probabilistic Constraints

Abstract

Due to their frequently observed lack of convexity and/or smoothness, stochastic programs with joint probabilistic constraints have been considered as a hard type of constrained optimization problems, which are rather demanding both from the computational and robustness point of view. Dependence of the set of solutions on the probability distribution rules out the straightforward construction of the convexity-based global contamination bounds for the optimal value; at least local results for probabilistic programs of a special structure will be derived. Several alternative approaches to output analysis will be mentioned.
Fichier principal
Vignette du fichier
978-3-642-36062-6_16_Chapter.pdf (4 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01347533 , version 1 (21-07-2016)

Licence

Attribution

Identifiers

Cite

Jitka Dupačová. Robustness Analysis of Stochastic Programs with Joint Probabilistic Constraints. 25th System Modeling and Optimization (CSMO), Sep 2011, Berlin, Germany. pp.155-164, ⟨10.1007/978-3-642-36062-6_16⟩. ⟨hal-01347533⟩
147 View
111 Download

Altmetric

Share

Gmail Facebook X LinkedIn More