Show simple item record

1999-11-29Buch DOI: 10.18452/8220
Concavity and Efficient Points of Discrete Distributions in Probabilistic Programming
dc.contributor.authorDentcheva, Darinka
dc.contributor.authorPrékopa, András
dc.contributor.authorRuszczynski, Andrzej
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:34:57Z
dc.date.available2017-06-16T19:34:57Z
dc.date.created2006-02-08
dc.date.issued1999-11-29
dc.date.submitted1999-11-03
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8872
dc.description.abstractWe consider stochastic programming problems with probabilistic constraints involving integer-valued random variables. The concept of a p-efficient point of a probability distribution is used to derive various equivalent problem formulations. Next we introduce the concept of r-concave discrete probability distributions and analyse its relevance for problems under consideration. These notions are used to derive lower and upper bounds for the optimal value of probabilistically constrained stochastic programming problems with discrete random variables. The results are illustrated with numerical examples.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectdiscrete distributionseng
dc.subjectprobabilistic programmingeng
dc.subjectgeneralized concavityeng
dc.subjectcolumn generationeng
dc.subject.ddc510 Mathematik
dc.titleConcavity and Efficient Points of Discrete Distributions in Probabilistic Programming
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8872-0
dc.identifier.doihttp://dx.doi.org/10.18452/8220
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameSpringer
local.edoc.container-publisher-placeBerlin [u.a.]
local.edoc.container-volume1999
local.edoc.container-issue4
local.edoc.container-erstkatid2936317-2

Show simple item record