copulas

Chance constrained nonlinear optimization with skewed distributions and dependent rows

  • Jia Liu
  • Shen Peng
  • Abdel Lisser
    • Categories Stochastic Programming Tags , , , ,

    This paper discusses chance constrained optimization problems where the constraints are linear to the random variables but nonlinear to the decision variables. For the individual nonlinear chance constraint, we derive tractable reformulation under finite Gaussian mixture distributions and design tight approximation under the generalized hyperbolic distribution. For the joint nonlinear chance constraint, we study several … Read more

    A copula-based heuristic for scenario generation

  • Michal Kaut
    • Categories Stochastic Programming Tags , ,

    This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and compared to two other scenario-generation methods. CitationPublished in Computational Management Science, 11 (4), … Read more