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Statements

Subject Item

n2:RIV%2F67985556%3A_____%2F14%3A00437979%21RIV15-GA0-67985556

rdf:type

skos:Concept n15:Vysledek

dcterms: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.

dcterms:title

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

skos:prefLabel

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

skos:notation

RIV/67985556:_____/14:00437979!RIV15-GA0-67985556

n3:aktivita

n10:I n10:P

n3:aktivity

I, P(GA13-14445S)

n3:dodaniDat

n18:2015

n3:domaciTvurceVysledku

n6:4500725

n3:druhVysledku

n16:D

n3:duvernostUdaju

n5:S

n3:entitaPredkladatele

n11:predkladatel

n3:idSjednocenehoVysledku

985

n3:idVysledku

RIV/67985556:_____/14:00437979

n3:jazykVysledku

n19:eng

n3:klicovaSlova

chance-constrained optimization; Archimedean copulas; convexity; second-order cone programming

n3:klicoveSlovo

n7:Archimedean%20copulas n7:second-order%20cone%20programming n7:convexity n7:chance-constrained%20optimization

n3:kontrolniKodProRIV

[2F2647789A44]

n3:mistoKonaniAkce

Olomouc

n3:mistoVydani

Olomouc

n3:nazevZdroje

Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014

n3:obor

n14:BB

n3:pocetDomacichTvurcuVysledku

1

n3:pocetTvurcuVysledku

1

n3:projekt

n8:GA13-14445S

n3:rokUplatneniVysledku

n18:2014

n3:tvurceVysledku

Houda, Michal

n3:typAkce

n20:EUR

n3:zahajeniAkce

2014-09-10+02:00

s:numberOfPages

6

n12:hasPublisher

Univerzita Palackého v Olomouci

n17:isbn

978-80-244-4209-9