Search Results - subject:"probabilistic constraint"

Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process

Golubin, A. Y.; Gridin, V. N. - In: Scandinavian actuarial journal 2023 (2023) 1, pp. 20-37

Persistent link: https://www.econbiz.de/10013491048

A factional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting

Lejeune, Miguel A.; Kettunen, Janne - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 583-597

Persistent link: https://www.econbiz.de/10011923008

Solving chance-constrained optimization problems with stochastic quadraric inequalities

Lejeune, Miguel A.; Margot, François - In: Operations research 64 (2016) 4, pp. 939-957

Persistent link: https://www.econbiz.de/10011538579

Stochastic geometric optimization with joint probabilistic constraints

Liu, Jia; Lisser, Abdel; Chen, Zhiping - In: Operations research letters 44 (2016) 5, pp. 687-691

Persistent link: https://www.econbiz.de/10011596645

Multi-objective probabilistically constrained programs with variable risk : models for multi-portfolio financial optimization

Lejeune, Miguel A.; Shen, Siqian - In: European journal of operational research : EJOR 252 (2016) 2, pp. 522-539

Persistent link: https://www.econbiz.de/10011457705

Single commodity stochastic network design under probabilistic constraint with discrete random variables

Prékopa, András; Unuvar, Merve - In: Operations research 63 (2015) 6, pp. 1512-1527

Persistent link: https://www.econbiz.de/10011422614

New reformulations for probabilistically constrained quadratic programs

Hsia, Yong; Wu, Baiyi; Li, Duan - In: European Journal of Operational Research 233 (2014) 3, pp. 550-556

The mixed integer quadratic programming (MIQP) reformulation by Zheng, Sun, Li, and Cui (2012) for probabilistically constrained quadratic programs (PCQP) recently published in EJOR significantly dominates the standard MIQP formulation (Ruszczynski, 2002; Benati & Rizzi, 2007) which has been widely...

Persistent link: https://www.econbiz.de/10010719587

New reformulations for probabilistically constrained quadratic programs

Hsia, Yong; Wu, Baiyi; Li, Duan - In: European journal of operational research : EJOR 233 (2014) 3, pp. 550-556

Persistent link: https://www.econbiz.de/10010228240

Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs

Zheng, Xiaojin; Sun, Xiaoling; Li, Duan; Cui, Xueting - In: European Journal of Operational Research 221 (2012) 1, pp. 38-48

Probabilistically constrained quadratic programming (PCQP) problems arise naturally from many real-world applications and have posed a great challenge in front of the optimization society for years due to the nonconvex and discrete nature of its feasible set. We consider in this paper a special...

Persistent link: https://www.econbiz.de/10010597655