A log-sigmoid approximation to chance constrained programs

MaRDI QIDQ4980647zbMATH OpenFDO

Authors Yonghong Ren, Yanni Ma, Yu Wang, Jia Wang

Publication date 30 June 2014

zbMATH Keywords

chance constraintconvergence analysislog-sigmoid approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

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(7)

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• Log-concavity of compound distributions with applications in stochastic optimization
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• Analytic approximation and differentiability of joint chance constraints
• A smoothing function approach to joint chance constrained programs
• A sample average approximation approach for log-sigmoid approximation of chance constrained problem

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