0437979 20240103205402.820150120235959.9 000356417900057 6 s. P cav_un_epca*0431512978-80-244-4209-9327-332OlomoucPalacký University2014TalašováJ. chance-constrained optimization Archimedean copulas convexity second-order cone programming cav_un_auth*0108104 Ekonometrie Department of Econometrics E E Department of Econometrics Houda Michal UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/houda-0437979.pdf cav_un_auth*0292652 GA13-14445S GA ČR In this paper we are concentrated on a problem of linear chanceconstrained programming where the constraint matrix is considered random with a known distribution of the matrix rows. The rows are not considered to be independent; instead, we make use of the copula notion to describe the dependence of the matrix rows. In particular, the distribution of the rows is driven by so-called Archimedean class of copulas. We provide a review of very basic properties of Archimedean copulas and describe how they can be used to transform the stochastic programming problem into a deterministic problem of second-order cone programming. Also the question of convexity of the problem is explored and importance of the selected class of copulas is commented. At the end of the paper, we provide a simple example to illustrate the concept used. cav_un_auth*0306071 MME 2014. International Conference Mathematical Methods in Economics /32./ 10.09.2014-12.09.2014 Olomouc CZ BB 2015 PR RVO:67985556 http://hdl.handle.net/11104/0242980 S 2014 000356417900057 WOS cav_un_epca*0431512 Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014 978-80-244-4209-9 327 332 Olomouc Palacký University 2014 Talašová J. 340 Stoklasa J. 340 Talášek T. 340