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Properties and solutions of a class of stochastic programming problems with probabilistic constraints
Descriptive
TitleInfo
Title
Properties and solutions of a class of stochastic programming problems with probabilistic constraints
Name
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Yoda
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Kunikazu
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Kunikazu Yoda
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author
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Prekopa
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Andras
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Andras Prekopa
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Advisory Committee
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chair
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Boros
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Endre
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Endre Boros
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Advisory Committee
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internal member
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ADI BEN-ISRAEL
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Advisory Committee
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internal member
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(type = family)
Gurvich
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Vladimir
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Vladimir Gurvich
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Advisory Committee
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internal member
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Baykal-Gursoy
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Melike
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Melike Baykal-Gursoy
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Advisory Committee
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outside member
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Subasi
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Munevver Mine
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Munevver Mine Subasi
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Advisory Committee
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outside member
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Rutgers University
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degree grantor
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Graduate School - New Brunswick
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Text
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theses
OriginInfo
DateCreated
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2013
DateOther
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(type = degree)
2013-10
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
We consider two types of probabilistic constrained stochastic linear programming problems and one probability bounding problem. The first type involves a random left-hand side matrix whose rows are independent and normally distributed. The quasi-concavity of the constraining function needed for the convexity of the problem is ensured if the factors of the function are uniformly quasi-concave. A necessary and sufficient condition is given for that property to hold. We show practical application in optimal portfolio construction. The second type is the stochastic multidimensional knapsack problem which involves a random left-hand side matrix with independent components and 0-1 decision variables. We show that the problem is convex, under some condition on the parameters, for special continuous and discrete distributions: gamma, normal, Poisson, and binomial. Numerical experiments suggest that the problem can be solved as efficiently as its deterministic version for moderate sized instances. In the last problem, we formulate the linear programming problems that give improved lower and upper bounds on the probability of the union of events when the probabilities of some individual or intersections of events in a first few terms of the inclusion-exclusion principle are 0 or very small.
Subject
(authority = RUETD)
Topic
Operations Research
RelatedItem
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
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Identifier
ETD_5115
PhysicalDescription
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electronic resource
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application/pdf
InternetMediaType
text/xml
Extent
vi, 66 p. : ill.
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Kunikazu Yoda
Subject
(authority = ETD-LCSH)
Topic
Stochastic programming
Subject
(authority = ETD-LCSH)
Topic
Linear programming
RelatedItem
(type = host)
TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier
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rucore19991600001
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(displayLabel = Rutgers, The State University of New Jersey)
NjNbRU
Identifier
(type = doi)
doi:10.7282/T3S180JS
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
RightsDeclaration
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The author owns the copyright to this work.
RightsHolder
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Name
FamilyName
Yoda
GivenName
Kunikazu
Role
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RightsEvent
Type
Permission or license
DateTime
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(point = start)
2013-10-01 12:09:05
AssociatedEntity
Name
Kunikazu Yoda
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Copyright holder
Affiliation
Rutgers University. Graduate School - New Brunswick
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License
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Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
RightsEvent
DateTime
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(qualifier = exact);
(point = start)
2013-10-31
DateTime
(encoding = w3cdtf);
(qualifier = exact);
(point = end)
2014-05-02
Type
Embargo
Detail
Access to this PDF has been restricted at the author's request. It will be publicly available after May 2nd, 2014.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical
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ETD
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windows xp
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