Joint dynamic probabilistic constraints with projected linear decision rules
نویسندگان
چکیده
منابع مشابه
Joint dynamic probabilistic constraints with projected linear decision rules
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...
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ژورنال
عنوان ژورنال: Optimization Methods and Software
سال: 2016
ISSN: 1055-6788,1029-4937
DOI: 10.1080/10556788.2016.1233972