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...

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...

In this paper, we consider the link prediction problem, where we are given a partial snapshot of a network at some time and the goal is to predict the additional links formed at a later time. The accuracy of current prediction methods is quite low due to the extreme class skew and the large number of potential links. Here, we describe learning algorithms based on chance constrained programs and...

Two common approaches to model uncertainty in optimization problems are to either explicitly enumerate all the realizations of the uncertain parameters or to specify them implicitly by a probability distribution over the uncertain parameters. We study robust covering problems where the demand or the right hand side of the covering constraints is uncertain, in both models of uncertainty and intr...