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Statements

Subject Item
n2:RIV%2F60076658%3A12510%2F08%3A00012268%21RIV11-MSM-12510___
rdf:type
skos:Concept n11:Vysledek
dcterms:description
In chance -constrained optimization problems, a solution is assumed to be feasible only with certain, sufficiently high probability. For computational and theoretical purposes, the convexity property of the resulting constraint set is treated. It is known, for example, that a suitable combination of a concavity property of the probability distribution and concavity of constraint mappings are sufficient conditions to the convexity of the resulting constraint set. Recently, new concavity condition of the probability distribution - r-decreasing density - has been developed. Henrion and Strugarek (2006) show, under the assumption of independence of connstraint rows, that this condition on marginal densities allows us, on the other side, weaken the concavity of constraint mappings. In this contribution we present a relaxation of the independence assumption in favour of a specific weak-dependence condition. If the independence assumption is not fulfiled, the resulting constraint set is not due to be convex. In chance -constrained optimization problems, a solution is assumed to be feasible only with certain, sufficiently high probability. For computational and theoretical purposes, the convexity property of the resulting constraint set is treated. It is known, for example, that a suitable combination of a concavity property of the probability distribution and concavity of constraint mappings are sufficient conditions to the convexity of the resulting constraint set. Recently, new concavity condition of the probability distribution - r-decreasing density - has been developed. Henrion and Strugarek (2006) show, under the assumption of independence of connstraint rows, that this condition on marginal densities allows us, on the other side, weaken the concavity of constraint mappings. In this contribution we present a relaxation of the independence assumption in favour of a specific weak-dependence condition. If the independence assumption is not fulfiled, the resulting constraint set is not due to be convex.
dcterms:title
Weak Structural Dependence in Chance-Constrained Programming Weak Structural Dependence in Chance-Constrained Programming
skos:prefLabel
Weak Structural Dependence in Chance-Constrained Programming Weak Structural Dependence in Chance-Constrained Programming
skos:notation
RIV/60076658:12510/08:00012268!RIV11-MSM-12510___
n3:aktivita
n7:V
n3:aktivity
V
n3:dodaniDat
n8:2011
n3:domaciTvurceVysledku
n19:4500725
n3:druhVysledku
n17:D
n3:duvernostUdaju
n20:S
n3:entitaPredkladatele
n15:predkladatel
n3:idSjednocenehoVysledku
405586
n3:idVysledku
RIV/60076658:12510/08:00012268
n3:jazykVysledku
n16:eng
n3:klicovaSlova
chance-constrained programming; convexity; structural dependence
n3:klicoveSlovo
n10:chance-constrained%20programming n10:convexity n10:structural%20dependence
n3:kontrolniKodProRIV
[9661DB4FC39B]
n3:mistoKonaniAkce
Liberec
n3:mistoVydani
Liberec
n3:nazevZdroje
Proceedings of 26th International conference Mathematical Methods in Economics 2008
n3:obor
n9:IN
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n8:2008
n3:tvurceVysledku
Houda, Michal
n3:typAkce
n12:EUR
n3:wos
000260962300024
n3:zahajeniAkce
2008-01-01+01:00
s:numberOfPages
6
n13:hasPublisher
Technická univerzita v Liberci
n18:isbn
978-80-7372-387-3
n14:organizacniJednotka
12510