In this paper we extend the Stochastic Branch. and Bound Method, developed in [7], [8] for stochastic integer and global optimization problems, to optimization problems with stochastic (expectation or chance) constraints. As examples we solve a problem of optimization elf probabilities and a chance constrained programming problem with discrete decision variables.
CITATION STYLE
Norkin, V. (1998). Global Optimization of Probabilities by the Stochastic Branch and Bound Method (pp. 186–201). https://doi.org/10.1007/978-3-642-45767-8_11
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