Joint dynamic probabilistic constraints with projected linear decision rules
Author:
Affiliation:
1. FGV/EMAp, 22250-900 Rio de Janeiro, Brazil
2. Weierstrass Institute Berlin, 10117 Berlin, Germany
Funder
Conselho Nacional de Desenvolvimento Científico e Tecnológico
Deutsche Forschungsgemeinschaft
FAPERJ
Publisher
Informa UK Limited
Subject
Applied Mathematics,Control and Optimization,Software
Link
https://www.tandfonline.com/doi/pdf/10.1080/10556788.2016.1233972
Reference41 articles.
1. Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
2. On joint probabilistic constraints with Gaussian coefficient matrix
3. A model for dynamic chance constraints in hydro power reservoir management
4. Uncertain convex programs: randomized solutions and confidence levels
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