On minimization of a function under an equality chance constraint
Tamm, Ebu; Tamm, Ebu; Institute of Cybernetics of the Estonian Academy of Sciences
Журнал:
Mathematische Operationsforschung und Statistik. Series Optimization
Дата:
1981
Аннотация:
The joint chance constrained extremum problem is considered. Basing on independent realizations of a random vector the Parzen kernel-type estimate of the constraint function is proposed. The initial problem and the problem where the constraint function is replaced by this estimate are compared.
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