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Chance constrained problems: penalty reformulation and performance of sample approximation technique

SYSNO ASEP	0376766
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Chance constrained problems: penalty reformulation and performance of sample approximation technique
Author(s)	Branda, Martin (UTIA-B)_{RID, ORCID}
Number of authors	1
Source Title	Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954 Roč. 48, č. 1 (2012), s. 105-122
Number of pages	18 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	chance constrained problems ; penalty functions ; asymptotic equivalence ; sample approximation technique ; investment problem
Subject RIV	BB - Applied Statistics, Operational Research
R&D Projects	GBP402/12/G097 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000301269800006
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2013

Number of the records: 1