About: A note on the use of copulas in chance-constrained programming

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we are concentrated on a problem of linear chanceconstrained programming where the constraint matrix is considered random with a known distribution of the matrix rows. The rows are not considered to be independent; instead, we make use of the copula notion to describe the dependence of the matrix rows. In particular, the distribution of the rows is driven by so-called Archimedean class of copulas. We provide a review of very basic properties of Archimedean copulas and describe how they can be used to transform the stochastic programming problem into a deterministic problem of second-order cone programming. Also the question of convexity of the problem is explored and importance of the selected class of copulas is commented. At the end of the paper, we provide a simple example to illustrate the concept used. In this paper we are concentrated on a problem of linear chanceconstrained programming where the constraint matrix is considered random with a known distribution of the matrix rows. The rows are not considered to be independent; instead, we make use of the copula notion to describe the dependence of the matrix rows. In particular, the distribution of the rows is driven by so-called Archimedean class of copulas. We provide a review of very basic properties of Archimedean copulas and describe how they can be used to transform the stochastic programming problem into a deterministic problem of second-order cone programming. Also the question of convexity of the problem is explored and importance of the selected class of copulas is commented. At the end of the paper, we provide a simple example to illustrate the concept used. (en)
Title	A note on the use of copulas in chance-constrained programming A note on the use of copulas in chance-constrained programming (en)
skos:prefLabel	A note on the use of copulas in chance-constrained programming A note on the use of copulas in chance-constrained programming (en)
skos:notation	RIV/67985556:_____/14:00437979!RIV15-GA0-67985556
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GA13-14445S)
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Houda, Michal
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	985
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/14:00437979
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	chance-constrained optimization; Archimedean copulas; convexity; second-order cone programming (en)
http://linked.open.../riv/klicoveSlovo	convexity second-order cone programming chance-constrained optimization Archimedean copulas
http://linked.open...ontrolniKodProRIV	[2F2647789A44]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Olomouc
http://linked.open...i/riv/nazevZdroje	Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Nové trendy ve stochastických ekonomických modelech za neurčitosti
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Houda, Michal
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-09-10 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Palackého v Olomouci
https://schema.org/isbn	978-80-244-4209-9

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