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Integrated Chance Constraints: Reduced Forms and an Algorithm

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  • Willem Haneveld
  • Maarten Vlerk

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  • Willem Haneveld & Maarten Vlerk, 2006. "Integrated Chance Constraints: Reduced Forms and an Algorithm," Computational Management Science, Springer, vol. 3(4), pages 245-269, September.
    • Handle: RePEc:spr:comgts:v:3:y:2006:i:4:p:245-269
    DOI: 10.1007/s10287-005-0007-3
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    References listed on IDEAS

    as
    1. Drijver, Sibrand J. & Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "ALM model for pension funds : numerical results for a prototype model," Research Report 02A44, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. repec:dgr:rugsom:02a44 is not listed on IDEAS
    3. Stein W. Wallace & Stein-Erik Fleten, 2002. "Stochastic programming in energy," GE, Growth, Math methods 0201001, University Library of Munich, Germany, revised 13 Nov 2003.
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    Keywords

    Chance constraints; Simple recourse; Algorithm; 90C15;
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