Sample Average Approximation Method for Chance Constrained Stochastic Programming in Transportation Model of Emergency Management
نویسندگان
چکیده
منابع مشابه
Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications
We study sample approximations of chance constrained problems. In particular, we consider the sample average approximation (SAA) approach and discuss the convergence properties of the resulting problem. We discuss how one can use the SAA method to obtain good candidate solutions for chance constrained ( )Departamento de Matemática, Pontif́ıcia Universidade Católica do Rio de Janeiro, Rio de Jane...
متن کاملA New Partial Sample Average Approximation Method for Chance Constrained Problems
In this paper, we present a new scheme of a sampling method to solve chance constrained programs. First of all, a modified sample average approximation, namely Partial Sample Average Approximation (PSAA) is presented. The main advantage of our approach is that the PSAA problem has only continuous variables whilst the standard sample average approximation (SAA) contains binary variables. Althoug...
متن کاملSample Average Approximation for Stochastic Dominance Constrained Programs
In this paper we study optimization problems with second-order stochastic dominance constraints. This class of problems has been receiving increasing attention in the literature as it allows for the modeling of optimization problems where a risk-averse decision maker wants to ensure that the solution produced by the model dominates certain benchmarks. Here we deal with the case of multi-variate...
متن کاملSOME PROPERTIES FOR FUZZY CHANCE CONSTRAINED PROGRAMMING
Convexity theory and duality theory are important issues in math- ematical programming. Within the framework of credibility theory, this paper rst introduces the concept of convex fuzzy variables and some basic criteria. Furthermore, a convexity theorem for fuzzy chance constrained programming is proved by adding some convexity conditions on the objective and constraint functions. Finally,...
متن کاملSample average approximation of expected value constrained stochastic programs
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). Our contributions include an analysis of the convergence rate and a statistical validation scheme for the proposed SAA method. Computational results using ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Systems Engineering Procedia
سال: 2012
ISSN: 2211-3819
DOI: 10.1016/j.sepro.2012.04.022