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Authors: Michal Houda and Abdel Lisser

Affiliation: Université Paris Sud, France

ISBN: 978-989-758-017-8

Keyword(s): Chance-constrained Programming, Dependence, Archimedean Copulas, Second-Order Cone Programming.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Knowledge Discovery and Information Retrieval ; Knowledge-Based Systems ; Mathematical Programming ; Methodologies and Technologies ; Operational Research ; Optimization ; Symbolic Systems

Abstract: In this paper, we investigate the problem of linear joint probabilistic constraints with normally distributed constraints. We assume that the rows of the constraint matrix are dependent, the dependence is driven by a convenient Archimedean copula. We describe main properties of the problem and show how dependence modeled through copulas translates to the model formulation. We also develop an approximation scheme for this class of stochastic programming problems based on second-order cone programming.

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Paper citation in several formats:
Houda, M. and Lisser, A. (2014). On the Use of Copulas in Joint Chance-constrained Programming.In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES, ISBN 978-989-758-017-8, pages 72-79. DOI: 10.5220/0004831500720079

@conference{icores14,
author={Michal Houda. and Abdel Lisser.},
title={On the Use of Copulas in Joint Chance-constrained Programming},
booktitle={Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,},
year={2014},
pages={72-79},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004831500720079},
isbn={978-989-758-017-8},
}

TY - CONF

JO - Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - On the Use of Copulas in Joint Chance-constrained Programming
SN - 978-989-758-017-8
AU - Houda, M.
AU - Lisser, A.
PY - 2014
SP - 72
EP - 79
DO - 10.5220/0004831500720079

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