Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski  Home/Search
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Abstract: We consider stochastic programming problems with probabilistic constraints involving integer-valued random variables. The concept of p-efficient points of a probability distribution is used to derive various equivalent problem formulations. Next we modify the concept of r-concave discrete probability distributions and analyse its relevance for problems under consideration. These notions are used to derive new lower and upper bounds for the optimal value of probabilistically constrained... (Update)
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BibTeX entry: (Update)
@misc{ dentcheva-stochastic,
author = "Darinka Dentcheva and András Prékopa and Andrzej Ruszczynski",
title = "On Stochastic Integer Programming under Probabilistic Constraints",
url = "citeseer.ist.psu.edu/125804.html" }
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