An Inner-Outer Approximation Approach to Chance Constrained Optimization
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Publication:5355201
DOI10.1137/15M1049750zbMath1387.90170OpenAlexW2750408863MaRDI QIDQ5355201
Armin Hoffmann, Pu Li, Abebe Geletu, Michael Klöppel
Publication date: 7 September 2017
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1049750
Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Stochastic programming (90C15)
Related Items (13)
Solving joint chance constrained problems using regularization and Benders' decomposition ⋮ A discussion of probability functions and constraints from a variational perspective ⋮ Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs ⋮ On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints ⋮ Optimization under Rare Chance Constraints ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Approximate methods for solving chance-constrained linear programs in probability measure space ⋮ 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 ⋮ Optimal Neumann Boundary Control of a Vibrating String with Uncertain Initial Data and Probabilistic Terminal Constraints ⋮ Chance constrained optimization of elliptic PDE systems with a smoothing convex approximation ⋮ Analytic approximation and differentiability of joint chance constraints ⋮ A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
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