Integrated Chance Constraints: Reduced Forms and an Algorithm
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DOI: 10.1007/s10287-005-0007-3
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- 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).
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- 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;All these keywords.
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