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    Chance-constrained optimization & optimal control problems

    226809_Sun 2015.pdf (3.529Mb)
    Access Status
    Open access
    Authors
    Sun, Yufei
    Date
    2015
    Supervisor
    Prof. Kok Lay Teo
    Dr Ee Ling Grace Aw
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/183
    Collection
    • Curtin Theses
    Abstract

    Four optimization or optimal control problems subject to probabilistic constraints are studied. The first identifies the optimal portfolio using a new probabilistic risk measure while maximizing return. The second explores a preventive-based maintenance scheduling problem while minimizing the total cost of operation. The third investigates how asset allocation of a pension fund should change in the face of default risk. The fourth suggests the optimal manpower scheduling which minimizes the salary costs of the employees.

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