Chance-constrained optimization & optimal control problems
Access Status
Open access
Authors
Date
2015Supervisor
Prof. Kok Lay Teo
Dr Ee Ling Grace Aw
Type
Thesis
Award
PhD
Metadata
Show full item recordSchool
Department of Mathematics and Statistics
Collection
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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