Displaying similar documents to “The gamma-uniform distribution and its applications”

Chance constrained problems: penalty reformulation and performance of sample approximation technique

Martin Branda (2012)

Kybernetika

Similarity:

We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. Simpler cases with one chance constraint and particular penalty functions were studied in [6,11]. The obtained problems with penalties and with a fixed set of feasible solutions are simpler to solve and analyze then the chance constrained programs. We discuss solving...