Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints

Author:

Branda Martin

Publisher

Springer Science and Business Media LLC

Subject

Control and Optimization

Reference28 articles.

1. Branda, M.: Local stability and differentiability of the conditional value at risk defined on the mixed-integer loss functions. Kybernetika 46(3), 362–373 (2010a)

2. Branda, M.: Solving real-life portfolio problem using stochastic programming and Monte-Carlo techniques. In: Houda, M., Friebelová, J. (eds.) Proceedings of Mathematical Methods in Economics 2010. University of South Bohemia, České Budějovice (2010b)

3. Branda, M.: Chance constrained problems: penalty reformulation and performance of sample approximation technique. Kybernetika 48(1), 105–122 (2012a)

4. Branda, M.: Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints. Oper. Res. Lett. 40(3), 207–211 (2012b)

5. Branda, M.: Stochastic programming problems with generalized integrated chance constraints. Optimization 61(8), 949–968 (2012c)

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