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Solving an MINLP with Chance Constraint Using a Zhang’s Copula Family

  • Adriano DelfinoEmail author
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 991)

Abstract

In this work we describe a good approach to solve chance-constrained programming with mixed-integer variables. We replace a hard chance constrained function by a copula. We prove that Zhang’s copula family satisfies the proprieties request by outer-approximation and we use this algorithm to solve this problem with promising results.

Keywords

Mixed-integer programming Chance-constrained programming Copula 

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.UTFPR - Universidade Tecnológica Federal do ParanáPato BrancoBrazil

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