Stochastic linear programming with a distortion risk constraint
Karl MoslerPavel BazovkinPublished in: CoRR (2012)
Keyphrases
- linear programming
- chance constraints
- chance constrained
- linear program
- stochastic programming
- linear arithmetic constraints
- linear inequalities
- dual variables
- dynamic programming
- optimal solution
- stochastic optimization
- objective function
- risk management
- risk factors
- robust optimization
- nonlinear programming
- risk assessment
- primal dual
- quadratic programming
- high risk
- feasible solution
- np hard
- integer programming
- decision making
- constraint propagation
- prediction error
- chance constrained programming