A second-order cone programming approach for linear programs with joint probabilistic constraints

Operations Research Letters

Volumn 40, Issue 5, 2012, Pages 325-328

  Cheng, Jianqiang ^a   Lisser, Abdel ^a  

^a UFR 919 Laboratoire d'Informatique Pour la Mécanique et les Sciences de l'Ingénieur   (France)

Author keywords

Joint probabilistic constraints; Piecewise linear approximation; Second order cone programming; Stochastic programming

Indexed keywords

JOINT PROBABILISTIC; LINEAR PROGRAMS; LOWER AND UPPER BOUNDS; MATRIX-VECTOR; NUMERICAL EXPERIMENTS; OPTIMAL VALUES; PIECE-WISE; PIECEWISE LINEAR APPROXIMATIONS; SECOND-ORDER CONE PROGRAMMING;

NORMAL DISTRIBUTION; STOCHASTIC PROGRAMMING;

PIECEWISE LINEAR TECHNIQUES;

EID: 84864476267     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.orl.2012.06.008     Document Type: Article

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