Chance-constrained optimization & optimal control problems
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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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