Chance-constrained programs with convex underlying functions: a bilevel convex optimization perspective

DOI10.1007/S10589-024-00573-9MaRDI QIDQ6568925zbMATH OpenFDO

Authors Yassine Laguel, Jérôme Malick, Wim van Ackooij

Publication date 8 July 2024

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10589-024-00573-9

zbMATH Keywords

bilevel optimizationchance constraintsconvex optimizationDC programmingstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonconvex programming, global optimization (90C26)

Recommendations

• On safe tractable approximations of chance constraints
• Convex relaxations of chance constrained optimization problems
• Convex Approximations of Chance Constrained Programs
• Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
• Randomized solutions to convex programs with multiple chance constraints

Cites work

• A discussion of probability functions and constraints from a variational perspective
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Chance-constrained programming
• Chance-constrained stochastic programming for integrated services network management
• Concavity and efficient points of discrete distributions in probabilistic programming.
• Convex Approximations of Chance Constrained Programs
• Convex measures of risk and trading constraints
• Convexity of chance constraints with independent random variables
• Exact Penalization and Necessary Optimality Conditions for Generalized Bilevel Programming Problems
• Exact penalization of generalized Nash equilibrium problems
• scientific article; zbMATH DE number 995813 (Why is no real title available?)
• scientific article; zbMATH DE number 3912096 (Why is no real title available?)
• scientific article; zbMATH DE number 46303 (Why is no real title available?)
• scientific article; zbMATH DE number 3599817 (Why is no real title available?)
• Joint chance constrained programming for hydro reservoir management
• On the convexity of level-sets of probability functions
• Optimization models with probabilistic constraints
• Optimization of Convex Risk Functions
• Partial penalization for the solution of generalized Nash equilibrium problems
• Proximal bundle methods for nonsmooth DC programming
• Random variables, monotone relations, and convex analysis
• Risk-constrained reinforcement learning with percentile risk criteria
• Sample average approximation method for chance constrained programming: Theory and applications
• Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
• Smooth minimization of non-smooth functions
• Solving chance-constrained problems via a smooth sample-based nonlinear approximation
• The ABC of DC programming
• The Scenario Approach to Robust Control Design
• Weak Sharp Minima in Mathematical Programming

Cited in

(1)

• A gradient-based method for joint chance-constrained optimization with continuous distributions

This page was built for publication: Chance-constrained programs with convex underlying functions: a bilevel convex optimization perspective

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6568925)