| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0437979 |
| utime |
20240103205402.8 |
| mtime |
20150120235959.9 |
| WOS |
000356417900057 |
| title
(primary) (eng) |
A note on the use of copulas in chance-constrained programming |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0431512 |
| ISBN |
978-80-244-4209-9 |
| title
|
Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014 |
| page_num |
327-332 |
| publisher |
| place |
Olomouc |
| name |
Palacký University |
| year |
2014 |
|
| editor |
|
|
| keyword |
chance-constrained optimization |
| keyword |
Archimedean copulas |
| keyword |
convexity |
| keyword |
second-order cone programming |
| author
(primary) |
| ARLID |
cav_un_auth*0108104 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| name1 |
Houda |
| name2 |
Michal |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0292652 |
| project_id |
GA13-14445S |
| agency |
GA ČR |
|
| abstract
(eng) |
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. |
| action |
| ARLID |
cav_un_auth*0306071 |
| name |
MME 2014. International Conference Mathematical Methods in Economics /32./ |
| dates |
10.09.2014-12.09.2014 |
| place |
Olomouc |
| country |
CZ |
|
| RIV |
BB |
| reportyear |
2015 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0242980 |
| confidential |
S |
| arlyear |
2014 |
| mrcbU34 |
000356417900057 WOS |
| mrcbU63 |
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 |
| mrcbU67 |
Talašová J. 340 |
| mrcbU67 |
Stoklasa J. 340 |
| mrcbU67 |
Talášek T. 340 |
|