Uniform quasi-concavity in probabilistic constrained stochastic programming.
András PrékopaKunikazu YodaMunevver Mine SubasiPublished in: Oper. Res. Lett. (2011)
Keyphrases
- stochastic programming
- multistage
- chance constrained
- linear program
- capacity planning
- asset liability management
- robust optimization
- decision making under uncertainty
- probabilistic model
- power generation
- risk averse
- multistage stochastic
- convex hull
- resource allocation
- belief networks
- learning algorithm
- dynamic programming
- bayesian networks