English, Article edition: ROLE OF DEPENDENCE IN CHANCE-CONSTRAINED AND ROBUST PROGRAMMING Michal Houda

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Bookmark: http://trove.nla.gov.au/version/196917
Physical Description
  • article
Language
  • English

Edition details

Title
  • ROLE OF DEPENDENCE IN CHANCE-CONSTRAINED AND ROBUST PROGRAMMING
Author
  • Michal Houda
Physical Description
  • article
Notes
  • The paper deals with two methods of solving optimization programs where uncertainties occur: stochastic (in particular chance-constrained) programming and robust programming. We review briefly how these two methods deal with uncertainty and what approximations are commonly used. Furthermore, we are concentrated on approximations based on sample sets where some type of weak dependence occurs. We demonstrate that such kind of dependence does not imply any important malfunction of optimization methods used there. Numerical illustration on simple optimization program is given.
  • stochastic programming, robust programming, weak dependence
  • RePEc:prg:jnlaop:v:2007:y:2007:i:4:id:80:p:111-120
Language
  • English
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