On the Use of Copulas in Joint Chance-constrained Programming

Michal Houda, Abdel Lisser

2014

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 Harvard Style

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 - Volume 1: ICORES, ISBN 978-989-758-017-8, pages 72-79. DOI: 10.5220/0004831500720079


in Bibtex Style

@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 - Volume 1: ICORES,},
year={2014},
pages={72-79},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004831500720079},
isbn={978-989-758-017-8},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - On the Use of Copulas in Joint Chance-constrained Programming
SN - 978-989-758-017-8
AU - Houda M.
AU - Lisser A.
PY - 2014
SP - 72
EP - 79
DO - 10.5220/0004831500720079