On joint probabilistic constraints with Gaussian coefficient matrix

Operations Research Letters

Volumn 39, Issue 2, 2011, Pages 99-102

  Van Ackooij, W ^a   Henrion, R ^b   Moller A ^b   Zorgati, R ^a  

^a R and D of Electricite de Francer   (France)

^b WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

Author keywords

Chance constraint; Energy portfolio optimization; Gaussian coefficient matrix gradient formula; Probabilistic constraint; Probabilistic programming; Stochastic optimization

Indexed keywords

CHANCE CONSTRAINT; ENERGY PORTFOLIO OPTIMIZATION; GAUSSIAN COEFFICIENT; PROBABILISTIC CONSTRAINTS; PROBABILISTIC PROGRAMMING; STOCHASTIC OPTIMIZATIONS;

ALGORITHMS; DISTRIBUTION FUNCTIONS; FINANCIAL DATA PROCESSING; GAUSSIAN DISTRIBUTION; MATRIX ALGEBRA; STOCHASTIC SYSTEMS;

CONSTRAINED OPTIMIZATION;

EID: 79953038792     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.orl.2011.01.005     Document Type: Article

References (5)

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5. R. Zorgati, W. van Ackooij, Optimizing financial and physical assets with chancechance constrained programming in the electrical industry, Optimization and Engineering, in press (appeared electronically at: doi:10.1007/s11081-010- 9113-3 ).