DocumentCode
2989215
Title
Compound dynamic constraint of stochastic optimization model and algorithm
Author
Zhou, Lei ; Li, Fa-chao
Author_Institution
Sch. of Econ. & Manage., Hebei Univ. of Sci. & Technol., Shijiazhuang
Volume
2
fYear
2008
fDate
30-31 Aug. 2008
Firstpage
783
Lastpage
787
Abstract
In this paper, based on the stochastic optimization theory, we add dynamic constraint condition of objective function to chance constrained programming model. Through compound dynamic constraint of expectation and variance, we establish a kind of stochastic optimized model which has guiding significance. We also show that under certain condition, this new model is a convex programming and get the algorithm of this model.
Keywords
constraint handling; convex programming; stochastic programming; constrained programming model; convex programming; dynamic constraint condition; stochastic optimization model; Algorithm design and analysis; Constraint optimization; Constraint theory; Dynamic programming; Functional programming; Pattern analysis; Pattern recognition; Random variables; Stochastic processes; Wavelet analysis; Chance constrained programming; Convex programming; Dynamic criterion function; Stochastic optimization;
fLanguage
English
Publisher
ieee
Conference_Titel
Wavelet Analysis and Pattern Recognition, 2008. ICWAPR '08. International Conference on
Conference_Location
Hong Kong
Print_ISBN
978-1-4244-2238-8
Electronic_ISBN
978-1-4244-2239-5
Type
conf
DOI
10.1109/ICWAPR.2008.4635883
Filename
4635883
Link To Document