Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142738 | Operations Research Letters | 2011 | 4 Pages |
Abstract
The paper deals with joint probabilistic constraints defined by a Gaussian coefficient matrix. It is shown how to explicitly reduce the computation of values and gradients of the underlying probability function to that of Gaussian distribution functions. This allows us to employ existing efficient algorithms for calculating this latter class of functions in order to solve probabilistically constrained optimization problems of the indicated type. Results are illustrated by an example from energy production.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
W. van Ackooij, R. Henrion, A. Möller, R. Zorgati,