On numerical calculation of probabilities according to Dirichlet distribution

The main difficulty in numerical solution of probabilistic constrained stochastic programming problems is the calculation of the probability values according to the underlying multivariate probability distribution. In addition, when we are using a nonlinear programming algorithm for the solution of...

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Veröffentlicht in:	Annals of operations research 2010-06, Vol.177 (1), p.185-200
Hauptverfasser:	Gouda, Ashraf A., Szántai, Tamás
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Business and Management Combinatorics Consumers Life cycles Monte Carlo method Monte Carlo simulation Nonlinear programming Operations research Operations Research/Decision Theory Probability Probability distribution Random variables Studies Theory of Computation
Online-Zugang:	Volltext
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