Browsing Rede de Pesquisa e Conhecimento Aplicado by Author "Henrion, René"

Now showing items 1-1 of 1

Joint dynamic probabilistic constraints with projected linear decision rules

Guigues, Vincent Gérard Yannick; Henrion, René
2016

We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see ...