Solving joint chance constrained problems using regularization and Benders' decomposition
From MaRDI portal
Publication:827143
DOI10.1007/S10479-018-3091-9zbMath1451.90103OpenAlexW2899648531WikidataQ128909142 ScholiaQ128909142MaRDI QIDQ827143
Lukáš Adam, René Henrion, Holger Heitsch, Martin Branda
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-3091-9
stochastic programmingregularizationoptimality conditionschance constrained programmingBenders' decompositiongas networks
Nonconvex programming, global optimization (90C26) Numerical methods based on necessary conditions (49M05) Stochastic programming (90C15)
Related Items (8)
Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty ⋮ A novel methodology for portfolio selection in fuzzy multi criteria environment using risk-benefit analysis and fractional stochastic ⋮ On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints ⋮ Optimization under Rare Chance Constraints ⋮ Value at risk approach to producer's best response in an electricity market with uncertain demand ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ On probabilistic capacity maximization in a stationary gas network ⋮ A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Chance-constrained problems and rare events: an importance sampling approach
- Nonlinear chance constrained problems: optimality conditions, regularization and solvers
- On the quantification of nomination feasibility in stationary gas networks with random load
- A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
- A smoothing function approach to joint chance-constrained programs
- An integer programming approach for linear programs with probabilistic constraints
- Integrated chance constraints: reduced forms and an algorithm
- On metric and calmness qualification conditions in subdifferential calculus
- Mathematical programming approaches for generating \(p\)-efficient points
- Computation of multivariate normal and \(t\) probabilities
- Convexity of chance constraints with independent random variables
- Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
- A polyhedral study on chance constrained program with random right-hand side
- The Benders decomposition algorithm: a literature review
- A second-order cone programming approach for linear programs with joint probabilistic constraints
- A joint model of probabilistic/robust constraints for gas transport management in stationary networks
- On quantile cuts and their closure for chance constrained optimization problems
- Hölder and Lipschitz stability of solution sets in programs with probabilistic constraints
- Approximation and contamination bounds for probabilistic programs
- Pattern definition of the \(p\)-efficiency concept
- Augmented Lagrangian method for probabilistic optimization
- Distributionally robust joint chance constraints with second-order moment information
- Regularization methods for optimization problems with probabilistic constraints
- An exact approach for solving integer problems under probabilistic constraints with random technology matrix
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support
- Eventual convexity of probability constraints with elliptical distributions
- On mixing sets arising in chance-constrained programming
- Convex relaxations of chance constrained optimization problems
- A mixed integer nonlinear optimization model for gas sale company
- Extensions of stochastic optimization results to problems with system failure probability functions
- Convergence Properties of a Regularization Scheme for Mathematical Programs with Complementarity Constraints
- Robust Convex Optimization
- A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution
- Evaluating Gas Network Capacities
- Introduction to Stochastic Programming
- From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
- A stochastic optimization model for gas retail with temperature scenarios and oil price parameters
- A difference of convex formulation of value-at-risk constrained optimization
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Lectures on Stochastic Programming
- Variational Analysis
- A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints
- A Critical Note on Empirical (Sample Average, Monte Carlo) Approximation of Solutions to Chance Constrained Programs
- Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Eventual convexity of chance constrained feasible sets
- (Sub-)Gradient Formulae for Probability Functions of Random Inequality Systems under Gaussian Distribution
- An Inner-Outer Approximation Approach to Chance Constrained Optimization
- Convex Approximations of Chance Constrained Programs
- Concavity and efficient points of discrete distributions in probabilistic programming.
- Subroutines for computing normal probabilities of sets -- computer experiences
- The elements of statistical learning. Data mining, inference, and prediction
This page was built for publication: Solving joint chance constrained problems using regularization and Benders' decomposition
