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Integrated chance constraints: reduced forms and an algorithm

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  • Klein Haneveld, Willem K.
  • Vlerk, Maarten H. van der

    (Groningen University)

Abstract

We consider integrated chance constraints (ICC), which provide quantitative alternatives for traditional chance constraints.We derive explicit polyhedral descriptions for the convex feasible sets induced by ICCs, for the case that the underlying distribution is discrete. Based on these reduced forms, we propose an efficient algorithm for this problem class. The relation to conditional value-at-risk models and (simple) recourse models is discussed, leading to a special purpose algorithm for simple recourse models with discretely distributed technology matrix. For both algorithms, numerical results are presented.

Suggested Citation

  • Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "Integrated chance constraints: reduced forms and an algorithm," Research Report 02A33, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:02a33
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    File URL: http://irs.ub.rug.nl/ppn/240801644
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    References listed on IDEAS

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    1. repec:dgr:rugsom:00a52 is not listed on IDEAS
    2. Vlerk, Maarten H. van der, 2002. "Convex approximations for complete integer recourse models," Research Report 02A21, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    3. Vlerk, Maarten H. van der, 2002. "On multiple simple recourse models," Research Report 02A06, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. Vlerk, Maarten H. van der & Klein Haneveld, W.K. & Drijver, S.J., 2000. "Asset liability management modeling using multi-stage mixed-integer stochastic programming," Research Report 00A52, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    5. repec:dgr:rugsom:02a21 is not listed on IDEAS
    6. 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).
    7. repec:dgr:rugsom:02a44 is not listed on IDEAS
    8. 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.
    9. repec:dgr:rugsom:02a06 is not listed on IDEAS
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    Cited by:

    1. repec:dgr:rugsom:03a21 is not listed on IDEAS
    2. Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015. "ON Integrated Chance Constraints in ALM for Pension Funds," Papers 1503.05343, arXiv.org.
    3. Vlerk, Maarten H. van der, 2003. "Integrated chance constraints in an ALM model for pension funds," Research Report 03A21, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. Fábián, Csaba I., 2008. "Handling CVaR objectives and constraints in two-stage stochastic models," European Journal of Operational Research, Elsevier, vol. 191(3), pages 888-911, December.
    5. Klein Haneveld, W.K.. & Streutker, M.H. & Vlerk, M.H. van der, 2005. "An ALM Model for Pension Funds using Integrated Chance Constraints," Research Report 05A03, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    6. repec:dgr:rugsom:05a03 is not listed on IDEAS
    7. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, University Library of Munich, Germany.

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