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A Cross-Entropy Method for Value-at-Risk Constrained Optimization

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https://hal.univ-lorraine.fr/hal-03213626
Contributor : Hoai An Le Thi <>
Submitted on : Friday, April 30, 2021 - 2:50:34 PM
Last modification on : Tuesday, June 1, 2021 - 2:48:38 PM

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Duc Manh Nguyen, Hoai An Le Thi, Tao Pham Dinh. A Cross-Entropy Method for Value-at-Risk Constrained Optimization. Intelligent Information and Database Systems. Lecture Notes in Computer Science, 6592, pp.442-451, 2011, ⟨10.1007/978-3-642-20042-7_45⟩. ⟨hal-03213626⟩

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