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

Martin Branda (2012)

Kybernetika

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 both problems...

Chaotic behaviour of continuous dynamical system generated by Euler equation branching and its application in macroeconomic equilibrium model

Barbora Volná (2015)

Mathematica Bohemica

We focus on the special type of the continuous dynamical system which is generated by Euler equation branching. Euler equation branching is a type of differential inclusion x ˙ { f ( x ) , g ( x ) } , where f , g : X n n are continuous and f ( x ) g ( x ) at every point x X . It seems this chaotic behaviour is typical for such dynamical system. In the second part we show an application in a new formulated overall macroeconomic equilibrium model. This new model is based on the fundamental macroeconomic aggregate equilibrium model called the IS-LM model....

Characterization of linear rational preference structures.

Jacinto González Pachón, Sixto Ríos-Insua (1992)

Extracta Mathematicae

We consider the multiobjective decision making problem. The decision maker's (DM) impossibility to take consciously a preference or indifference attitude with regard to a pair of alternatives leads us to what we have called doubt attitude. So, the doubt may be revealed in a conscient way by the DM. However, it may appear in an inconscient way, revealing judgements about her/his attitudes which do not follow a certain logical reasoning.In this paper, doubt will be considered as a part of the information...

Choix multicritères dans le risque et variables multidimensionnelles: proposition de méthode et application aux réseaux de transport d'énergie

Bertrand Munier, Nathalie Taverdet-Popiolek (2010)

RAIRO - Operations Research

This paper presents an application of Multiple Attribute Utility Theory on strategic choices concerning energy transportation. The environmental assessment of a network reinforcement strategy is emphasized. Our assessment brings about to consider multidimensional variables in MCDM. However, Multi-Attributed Utility Theory (MAUT) cannot, as a practical matter, manage such variables. We therefore work out a methodology to transform multidimensional variables into unidimensional ones. We apply...

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