%0 Conference Proceedings
%T Robustness Analysis of Stochastic Programs with Joint Probabilistic Constraints
%+ Univerzita Karlova [Praha, Česká republika] = Charles University [Prague, Czech Republic] (UK)
%A Dupačová, Jitka
%Z Part 3: Stochastic Optimization and Control
%< avec comité de lecture
%( IFIP Advances in Information and Communication Technology
%B 25th System Modeling and Optimization (CSMO)
%C Berlin, Germany
%Y Dietmar Hömberg
%Y Fredi Tröltzsch
%I Springer
%3 System Modeling and Optimization
%V AICT-391
%P 155-164
%8 2011-09-12
%D 2011
%R 10.1007/978-3-642-36062-6_16
%K Joint probabilistic constraints
%K contamination technique
%K output analysis
%Z Computer Science [cs]Conference papers
%X Due to their frequently observed lack of convexity and/or smoothness, stochastic programs with joint probabilistic constraints have been considered as a hard type of constrained optimization problems, which are rather demanding both from the computational and robustness point of view. Dependence of the set of solutions on the probability distribution rules out the straightforward construction of the convexity-based global contamination bounds for the optimal value; at least local results for probabilistic programs of a special structure will be derived. Several alternative approaches to output analysis will be mentioned.
%G English
%Z TC 7
%2 https://inria.hal.science/hal-01347533/document
%2 https://inria.hal.science/hal-01347533/file/978-3-642-36062-6_16_Chapter.pdf
%L hal-01347533
%U https://inria.hal.science/hal-01347533
%~ IFIP
%~ IFIP-AICT
%~ IFIP-TC
%~ IFIP-TC7
%~ IFIP-CSMO
%~ IFIP-AICT-391