Browsing Rede de Pesquisa e Conhecimento Aplicado by Subject "Decisão estatística"

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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 ...