Joint dynamic probabilistic constraints with projected linear decision rules
dc.bibliographicCitation.volume | 2271 | |
dc.contributor.author | Guigues, Vincent | |
dc.contributor.author | Henrion, René | |
dc.date.accessioned | 2016-12-13T22:46:42Z | |
dc.date.available | 2019-06-28T08:07:49Z | |
dc.date.issued | 2016 | |
dc.description.abstract | We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see type. We establish the relation between the original (infinite dimensional) problem and approximating problems working with projections from different subclasses of decision policies. Considering the subclass of linear decision rules and a generalized linear model for the underlying stochastic process with noises that are Gaussian or truncated Gaussian, we show that the value and gradient of the objective and constraint functions of the approximating problems can be computed analytically. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 2198-5855 | |
dc.identifier.uri | https://doi.org/10.34657/2563 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2533 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.ispartofseries | Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik , Volume 2271, ISSN 2198-5855 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject | Dynamic probabilistic constraints | eng |
dc.subject | multistage stochastic linear programs | eng |
dc.subject | linear decision rules | eng |
dc.subject.ddc | 510 | eng |
dc.title | Joint dynamic probabilistic constraints with projected linear decision rules | eng |
dc.type | report | eng |
dc.type | Text | eng |
dcterms.bibliographicCitation.journalTitle | Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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