Timeline for Scenario based approach to value-at-risk optimization using mixed-integer programming
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jul 27, 2020 at 15:29 | vote | accept | Sam | ||
| Jul 26, 2020 at 19:51 | comment | added | k88074 | As far as I can see this is not needed, since the left-hand-side does not necessarily sum to an integer value. | |
| Jul 25, 2020 at 8:43 | history | edited | TheSimpliFire♦ | CC BY-SA 4.0 |
Improved TeX formatting
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| Jul 24, 2020 at 23:16 | comment | added | Sam | Thanks. This answer is along the lines suggested by @Gabriel Gouvine In the equal probability case, the RHS of constraint (2) $\alpha\cdot S$ is rounded down to the nearest integer. Would a similar consideration apply in the case of different probabilities i.e. when multiplying probabilities with the binary variable? | |
| Jul 24, 2020 at 20:43 | history | answered | k88074 | CC BY-SA 4.0 |