Integrated Chance Constraints: Reduced Forms and an Algorithm

An ALM model for pension funds using integrated chance constraints

We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by the regulating authority for Dutch pension funds. The paper concludes with a numerical illustration of the importance of such short-term risk co...

An Algorithm Based on Theory of Constraints and Branch and Bound for Solving Integrated Product-Mix-Outsourcing Problem

One of the most important decision making problems in many production systems is identification and determination of products and their quantities according to available resources. This problem is called product-mix. However, in the real-world situations, for existing constrained resources, many companies try to provide some products from external resources to achieve more profits. In this pape...

Model of Integrated Chance Constraints and Application on Risk Measure

Compared with chance constraints model, integrated chance constraints model has better property about feasible solution set and measures risk more accurately in economy control. In this paper, we introduce four definitions of ICC models, and discuss the properties including convexity, continuum and differentiability. Then we present a hybrid intelligent algorithm, which is test efficiently by n...

Optimal Control with Fuzzy Chance Constraints

In this paper, a model of an optimal control problem with chance constraints is introduced. The parametersof the constraints are fuzzy, random or fuzzy random variables. Todefuzzify the constraints, we consider possibility levels.  Bychance-constrained programming the chance constraints are converted to crisp constraints which are neither fuzzy nor stochastic and then the resulting classical op...

Stochastic programming problems with generalized integrated chance constraints