Approximate methods for solving chance-constrained linear programs in probability measure space
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Abstract: Many risk-aware decision-making problems can be formulated as a chance constrained linear program in probability measure space, which is NP-hard and unsolvable directly. In this paper, we propose approximate methods to address this NP-hard problem. In the proposed methods, the original problem is approximated by two kinds of solvable optimization problems in finite-dimension space. We prove the convergence of the approximations and give numerical experiments including a stochastic control problem for validation.
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