A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints

DOI10.1137/16M109003XzbMath1396.90052OpenAlexW2626767683MaRDI QIDQ4637499

Andreas Wächter, Victor M. Zavala, Frank E. Curtis

Publication date: 24 April 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m109003x

zbMATH Keywords

nonlinear optimizationcardinality constraintsexact penalizationchance constraintssample average approximationtrust region methodssequential quadratic optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15) Methods of successive quadratic programming type (90C55)

Related Items (13)

Solving joint chance constrained problems using regularization and Benders' decomposition ⋮ On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints ⋮ Optimization under Rare Chance Constraints ⋮ A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs ⋮ An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems ⋮ Probability maximization via Minkowski functionals: convex representations and tractable resolution ⋮ Optimal chance-constrained pension fund management through dynamic stochastic control ⋮ Value at risk approach to producer's best response in an electricity market with uncertain demand ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Joint chance-constrained multi-objective multi-commodity minimum cost network flow problem with copula theory ⋮ Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation ⋮ Chance constrained optimization of elliptic PDE systems with a smoothing convex approximation ⋮ A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs

Uses Software

• Ipopt

Cites Work

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