Original title: A note on the use of copulas in chance-constrained programming
Authors: Houda, Michal
Document type: Papers
Conference/Event: MME 2014. International Conference Mathematical Methods in Economics /32./, Olomouc (CZ), 2014-09-10 / 2014-09-12
Year: 2014
Language: eng
Abstract: In this paper we are concentrated on a problem of linear chanceconstrained programming where the constraint matrix is considered random with a known distribution of the matrix rows. The rows are not considered to be independent; instead, we make use of the copula notion to describe the dependence of the matrix rows. In particular, the distribution of the rows is driven by so-called Archimedean class of copulas. We provide a review of very basic properties of Archimedean copulas and describe how they can be used to transform the stochastic programming problem into a deterministic problem of second-order cone programming. Also the question of convexity of the problem is explored and importance of the selected class of copulas is commented. At the end of the paper, we provide a simple example to illustrate the concept used.
Keywords: Archimedean copulas; chance-constrained optimization; convexity; second-order cone programming
Project no.: GA13-14445S (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014, ISBN 978-80-244-4209-9

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2014/E/houda-0437979.pdf
Original record: http://hdl.handle.net/11104/0242980

Permalink: http://www.nusl.cz/ntk/nusl-180528


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