Role of Dependence in Chance-constrained and Robust Programming

Role závislosti v úlohách s pravděpodobnostními omezeními a v úlohách robustního programování

Michal Houda ()

Acta Oeconomica Pragensia, 2007, vol. 2007, issue 4, 111-120

Abstract: The paper deals with two methods of solving optimization programs where uncertainties occur: stochastic (in particular chance-constrained) programming and robust programming. We review briefly how these two methods deal with uncertainty and what approximations are commonly used. Furthermore, we are concentrated on approximations based on sample sets where some type of weak dependence occurs. We demonstrate that such kind of dependence does not imply any important malfunction of optimization methods used there. Numerical illustration on simple optimization program is given.

Keywords: stochastic programming; robust programming; weak dependence (search for similar items in EconPapers)
JEL-codes: C44 C61 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.18267/j.aop.80

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