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- Auflistung Volume 2006 nach Autor
Auflistung Volume 2006 nach Autor "Henrion, René"
Anzeige der Publikationen 1-3 von 3
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2006-05-15BuchConvexity of chance constraints with independent random variables Henrion, René; Strugarek, CyrilleWe investigate the convexity of chance constraints with independent random variables. It will be shown, how concavity properties of the mapping related to the decision vector have to be combined with a suitable property ...
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2006-10-26BuchScenario reduction in stochastic programming with respect to discrepancy distances Henrion, René; Küchler, Christian; Römisch, WernerDiscrete approximations to chance constrained and mixed-integer two-stage stochastic programs require moderately sized scenario sets. The relevant distances of (multivariate) probability distributions for deriving quantitative ...
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2006-10-27BuchSome remarks on value-at-risk optimization Henrion, RenéWe discuss two observations related to value-at-arisk optimization. First we consider a portfolio problem under an infinite number of value-at-risk inequality constraints (modelling first order stochastic dominance). The ...