On joint probabilistic constraints with Gaussian coefficient matrix-Reference-Cited by-同舟云学术

On joint probabilistic constraints with Gaussian coefficient matrix

Published:2011-03 Issue:2 Volume:39 Page:99-102
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

van Ackooij W.,Henrion R.,Möller A.,Zorgati R.

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference5 articles.

1. Computation of Multivariate Normal and t Probabilities;Genz,2009

2. Probability integrals of multivariate normal and multivariate t;Gupta;The Annals of Mathematical Statistics,1963

3. Stochastic Programming;Prékopa,1995

4. On probabilistic constraints induced by rectangular sets and multivariate normal distributions;van Ackooij;Mathematical Methods of Operations Research,2010

5. R. Zorgati, W. van Ackooij, Optimizing financial and physical assets with chance–chance constrained programming in the electrical industry, Optimization and Engineering, in press (appeared electronically at: doi:10.1007/s11081-010-9113-3).

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