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ArticleChance-constrained problems and rare events: an importance sampling approach

Javiera Barrera2015

Article2015

Chance-constrained problems and rare events: an importance sampling approach

Javiera Barrera · Tito Homem‐de‐Mello · Eduardo Moreno · Bernardo K. Pagnoncelli · Gianpiero Canessa

45 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Probabilistic and Robust Engineering Design Markov Chains and Monte Carlo Methods

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References

1987Stochastic Simulation 2009Lectures on Stochastic Programming: Modeling and Theory 2009Lectures on Stochastic Programming 2006Convex Approximations of Chance Constrained Programs 2003Monte Carlo Sampling Methods 2004Uncertain convex programs: randomized solutions and confidence levels 2008A Sample Approximation Approach for Optimization with Probabilistic Constraints 2008The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs

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2015Problem-driven scenario generation : an analytical approach for stochastic programs with tail risk measure 2019Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure

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Year2015

Typearticle

Published2015-09-07

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations45

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-015-0942-x

openalex_workW1459610841

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