Integrated chance constraints: reduced forms and an algorithm

Willem K. Klein Haneveld and Maarten H. van der Vlerk
Additional contact information
Maarten H. van der Vlerk: Groningen University

No 02A33, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: We consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints.We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the case that the underlying distribution is discrete. Based on these reduced forms, we propose an efficient algorithm for this problem class. The relation to conditional value-at-risk models and (simple) recourse models is discussed, leading to a special purpose algorithm for simple recourse models with discretely distributed technology matrix. For both algorithms, numerical results are presented.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://irs.ub.rug.nl/ppn/240801644 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://irs.ub.rug.nl/ppn/240801644 [302 Found]--> https://irs.ub.rug.nl/ppn/240801644 [302 Found]--> https://www.rug.nl/research/portal/publications/pub(e01a27b2-fdfd-40ce-84f8-ca1cbc8430ed).html [301 Moved Permanently]--> https://research.rug.nl/en/publications/pub(e01a27b2-fdfd-40ce-84f8-ca1cbc8430ed).html [301 Moved Permanently]--> https://research.rug.nl/en/publications/integrated-chance-constraints-reduced-forms-and-an-algorithm-4)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gro:rugsom:02a33

Access Statistics for this paper

More papers in Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management) Contact information at EDIRC.
Bibliographic data for series maintained by Hanneke Tamling ().