{"id":"https://openalex.org/W1577393402","doi":"https://doi.org/10.1007/978-3-642-20042-7_45","title":"A Cross-Entropy Method for Value-at-Risk Constrained Optimization","display_name":"A Cross-Entropy Method for Value-at-Risk Constrained Optimization","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W1577393402","doi":"https://doi.org/10.1007/978-3-642-20042-7_45","mag":"1577393402"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-642-20042-7_45","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-20042-7_45","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074368950","display_name":"Duc Manh Nguyen","orcid":"https://orcid.org/0000-0002-4527-3358"},"institutions":[{"id":"https://openalex.org/I88814501","display_name":"Institut National des Sciences Appliqu\u00e9es Rouen Normandie","ror":"https://ror.org/020ws7586","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210105918","https://openalex.org/I88814501"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Duc Manh Nguyen","raw_affiliation_strings":["LMI, INSA of Rouen, BP 8, 76131, Mont Saint Aignan, France"],"affiliations":[{"raw_affiliation_string":"LMI, INSA of Rouen, BP 8, 76131, Mont Saint Aignan, France","institution_ids":["https://openalex.org/I88814501"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5042936176","display_name":"Hoai An Le Thi","orcid":"https://orcid.org/0000-0002-2239-2100"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Hoai An Le Thi","raw_affiliation_strings":["Laboratory of Theoretical and Applied Computer Science, University of Paul Verlaine - Metz, Ile du Saulcy, 57045, Metz, France"],"affiliations":[{"raw_affiliation_string":"Laboratory of Theoretical and Applied Computer Science, University of Paul Verlaine - Metz, Ile du Saulcy, 57045, Metz, France","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5112593835","display_name":"Tao Pham Dinh","orcid":null},"institutions":[{"id":"https://openalex.org/I88814501","display_name":"Institut National des Sciences Appliqu\u00e9es Rouen Normandie","ror":"https://ror.org/020ws7586","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210105918","https://openalex.org/I88814501"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Tao Pham Dinh","raw_affiliation_strings":["LMI, INSA of Rouen, BP 8, 76131, Mont Saint Aignan, France"],"affiliations":[{"raw_affiliation_string":"LMI, INSA of Rouen, BP 8, 76131, Mont Saint Aignan, France","institution_ids":["https://openalex.org/I88814501"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5074368950"],"corresponding_institution_ids":["https://openalex.org/I88814501"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.13722795,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"442","last_page":"451"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.7250752449035645},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7059780359268188},{"id":"https://openalex.org/keywords/cross-entropy-method","display_name":"Cross-entropy method","score":0.6773243546485901},{"id":"https://openalex.org/keywords/constrained-optimization-problem","display_name":"Constrained optimization problem","score":0.5650737285614014},{"id":"https://openalex.org/keywords/entropy","display_name":"Entropy (arrow of time)","score":0.545081615447998},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.5214278697967529},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.4965415596961975},{"id":"https://openalex.org/keywords/cross-entropy","display_name":"Cross entropy","score":0.4776652753353119},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4673113524913788},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.46634334325790405},{"id":"https://openalex.org/keywords/principle-of-maximum-entropy","display_name":"Principle of maximum entropy","score":0.27732545137405396},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.24755287170410156},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2132851779460907},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.1329655647277832},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.05148616433143616}],"concepts":[{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.7250752449035645},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7059780359268188},{"id":"https://openalex.org/C75782508","wikidata":"https://www.wikidata.org/wiki/Q3333633","display_name":"Cross-entropy method","level":4,"score":0.6773243546485901},{"id":"https://openalex.org/C2989514635","wikidata":"https://www.wikidata.org/wiki/Q5164377","display_name":"Constrained optimization problem","level":3,"score":0.5650737285614014},{"id":"https://openalex.org/C106301342","wikidata":"https://www.wikidata.org/wiki/Q4117933","display_name":"Entropy (arrow of time)","level":2,"score":0.545081615447998},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.5214278697967529},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.4965415596961975},{"id":"https://openalex.org/C167981619","wikidata":"https://www.wikidata.org/wiki/Q1685498","display_name":"Cross entropy","level":3,"score":0.4776652753353119},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4673113524913788},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.46634334325790405},{"id":"https://openalex.org/C9679016","wikidata":"https://www.wikidata.org/wiki/Q1417473","display_name":"Principle of maximum entropy","level":2,"score":0.27732545137405396},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.24755287170410156},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2132851779460907},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1329655647277832},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.05148616433143616},{"id":"https://openalex.org/C98036226","wikidata":"https://www.wikidata.org/wiki/Q7268356","display_name":"Quadratic assignment problem","level":3,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/978-3-642-20042-7_45","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-20042-7_45","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},{"id":"pmh:oai:HAL:hal-03213626v1","is_oa":false,"landing_page_url":"https://hal.univ-lorraine.fr/hal-03213626","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Intelligent Information and Database Systems. Lecture Notes in Computer Science, 6592, pp.442-451, 2011, &#x27E8;10.1007/978-3-642-20042-7_45&#x27E9;","raw_type":"Book sections"},{"id":"pmh:oai:oskar-bordeaux.fr:20.500.12278/35449","is_oa":false,"landing_page_url":"https://oskar-bordeaux.fr/handle/20.500.12278/35449","pdf_url":null,"source":{"id":"https://openalex.org/S4306402569","display_name":"Oskar-Bordeaux (Universite de Bordeaux)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Intelligent Information and Database Systems. Lecture Notes in Computer Science","raw_type":"Chapitre d'ouvrage"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.4399999976158142}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W102553210","https://openalex.org/W110885661","https://openalex.org/W606393483","https://openalex.org/W606413752","https://openalex.org/W1106997938","https://openalex.org/W1507811735","https://openalex.org/W1516216243","https://openalex.org/W1577352482","https://openalex.org/W1606492702","https://openalex.org/W1647779468","https://openalex.org/W1668618005","https://openalex.org/W1904801170","https://openalex.org/W1973769789","https://openalex.org/W1985658808","https://openalex.org/W1988746686","https://openalex.org/W1994166723","https://openalex.org/W2002736235","https://openalex.org/W2019291268","https://openalex.org/W2084002138","https://openalex.org/W2096603854","https://openalex.org/W2132083787","https://openalex.org/W2133615895","https://openalex.org/W2162112538","https://openalex.org/W2486157893","https://openalex.org/W2784884531","https://openalex.org/W3145997355","https://openalex.org/W4206621707"],"related_works":["https://openalex.org/W2080931671","https://openalex.org/W1584645679","https://openalex.org/W2400292122","https://openalex.org/W2770616710","https://openalex.org/W2052147111","https://openalex.org/W1980187201","https://openalex.org/W286550118","https://openalex.org/W1038253066","https://openalex.org/W2088933359","https://openalex.org/W3122506910"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}
