Počet záznamů: 1
Chance constrained problems: penalty reformulation and performance of sample approximation technique
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SYSNO ASEP 0376766 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Chance constrained problems: penalty reformulation and performance of sample approximation technique Tvůrce(i) Branda, Martin (UTIA-B) RID, ORCID Celkový počet autorů 1 Zdroj.dok. Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954
Roč. 48, č. 1 (2012), s. 105-122Poč.str. 18 s. Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova chance constrained problems ; penalty functions ; asymptotic equivalence ; sample approximation technique ; investment problem Vědní obor RIV BB - Aplikovaná statistika, operační výzkum CEP GBP402/12/G097 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000301269800006 Anotace We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. Simpler cases with one chance constraint and particular penalty functions were studied in [6,11]. The obtained problems with penalties and with a fixed set of feasible solutions are simpler to solve and analyze then the chance constrained programs. We discuss solving both problems using Monte-Carlo simulation techniques for the cases when the set of feasible solution is finite or infinite bounded. The approach is applied to a financial optimization problem with Value at Risk constraint, transaction costs and integer allocations. We compare the ability to generate a feasible solution of the original chance constrained problem using the sample approximations of the chance constraints directly or via sample approximation of the penalty function objective. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2013
Počet záznamů: 1