Probabilistic Constrained Programming: A Reduced Gradient Algorithm Implemented on PC

Mayer J (1988). Probabilistic Constrained Programming: A Reduced Gradient Algorithm Implemented on PC. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-88-039

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Abstract

The described solution technique for stochastic linear programs with one joint probability constraint and with multinormal right-hand sides was developed and implemented in the frame of the IIASA contracted study "Modelling of interconnected power systems". Very cautious use of efficient subroutines made it possible to solve such a numerically complicated optimization problem on IBM/PC-XT or AT compatibles.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:59
Last Modified: 21 Jul 2016 20:06
URI: http://pure.iiasa.ac.at/3166

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