A joint chance-constrained programming model with row dependence

A joint chance-constrained programming model with row dependence

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Article ID: iaor1998949
Country: Netherlands
Volume: 77
Issue: 2
Start Page Number: 325
End Page Number: 343
Publication Date: Sep 1994
Journal: European Journal of Operational Research
Authors: ,
Abstract:

Joint chance-constrained stochastic programming models typically require random row vector independence. A joint model is developed that incorporates not only within-constraint covariance as is usually the case, but also admits dependence between constraints, that is, row dependence. The objective function of the associated chance-constrained deterministic equivalent is a multivariate normal distribution with dimension equal to the number of chance constraints in the original problem. We discuss methods to solve this multinormal integral and evaluate its derivatives. The model is implemented in portable Fortran and applied to two 9-D test problems.

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