On the Use of Copulas in Joint Chance-constrained Programming

Michal Houda; Abdel Lisser

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Paper

On the Use of Copulas in Joint Chance-constrained Programming

Topics: Mathematical Programming; Optimization

In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems ICORES - Volume 1, 72-79, 2014 , ESEO, Angers, Loire Valley, France

Authors: Michal Houda and Abdel Lisser

Affiliation: Université Paris Sud, France

Keyword(s): Chance-constrained Programming, Dependence, Archimedean Copulas, Second-Order Cone Programming.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Knowledge Discovery and Information Retrieval ; Knowledge-Based Systems ; Mathematical Programming ; Methodologies and Technologies ; Operational Research ; Optimization ; Symbolic Systems

Abstract: In this paper, we investigate the problem of linear joint probabilistic constraints with normally distributed constraints. We assume that the rows of the constraint matrix are dependent, the dependence is driven by a convenient Archimedean copula. We describe main properties of the problem and show how dependence modeled through copulas translates to the model formulation. We also develop an approximation scheme for this class of stochastic programming problems based on second-order cone programming.

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Paper citation in several formats:

Houda, M. and Lisser, A. (2014). On the Use of Copulas in Joint Chance-constrained Programming. In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES; ISBN 978-989-758-017-8; ISSN 2184-4372, SciTePress, pages 72-79. DOI: 10.5220/0004831500720079

@conference{icores14,
author={Michal Houda. and Abdel Lisser.},
title={On the Use of Copulas in Joint Chance-constrained Programming},
booktitle={Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES},
year={2014},
pages={72-79},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004831500720079},
isbn={978-989-758-017-8},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES
TI - On the Use of Copulas in Joint Chance-constrained Programming
SN - 978-989-758-017-8
IS - 2184-4372
AU - Houda, M.
AU - Lisser, A.
PY - 2014
SP - 72
EP - 79
DO - 10.5220/0004831500720079
PB - SciTePress