Jianqiang Cheng

A NEW PARTIAL SAMPLE AVERAGE APPROXIMATION METHOD FOR CHANCE CONSTRAINED PROBLEM

  • Jianqiang Cheng
  • Abdel Lisser
  • Céline Gicquel
    • Categories Stochastic Programming Tags , ,

    In this paper, we present a new scheme of a sampling method to solve chance constrained programs. First of all, a modified sample average approximation, namely Partial Sample Average Approximation (PSAA) is presented. The main advantage of our approach is that the PSAA problem has only continuous variables whilst the standard sample average approximation (SAA) … Read more

    Second-order cone programming approach for elliptically distributed joint probabilistic constraints with dependent rows

  • Jianqiang Cheng
  • Abdel Lisser
  • Michal Houda
    • Categories Applications - OR and Management Sciences

    In this paper, we investigate the problem of linear joint probabilistic constraints. We assume that the rows of the constraint matrix are dependent and the dependence is driven by a convenient Archimedean copula. Further we assume the distribution of the constraint rows to be elliptically distributed, covering normal, $t$, or Laplace distributions. Under these and … Read more