Probabilistic constraints via SQP solver: application to a renewable energy management problem
From MaRDI portal
Publication:2355720
DOI10.1007/S10287-015-0228-ZzbMATH Open1317.90216OpenAlexW2057382113MaRDI QIDQ2355720FDOQ2355720
Authors: I. Bremer, René Henrion, Andris Möller 
Publication date: 24 July 2015
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-015-0228-z
Recommendations
- A mixed-integer stochastic nonlinear optimization problem with joint probabilistic constraints
- On joint probabilistic constraints with Gaussian coefficient matrix
- scientific article
- SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
probabilistic constraintsrenewable energiesmultivariate Gaussian probabilitySQP with low precision data
Cites Work
- Computation of multivariate normal and \(t\) probabilities
- Robust solutions of linear programming problems contaminated with uncertain data
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Lectures on Stochastic Programming
- The Scenario Approach to Robust Control Design
- Convex Approximations of Chance Constrained Programs
- Joint chance constrained programming for hydro reservoir management
- Sample average approximation method for chance constrained programming: Theory and applications
- Title not available (Why is that?)
- Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks
- A model for dynamic chance constraints in hydro power reservoir management
- A gradient formula for linear chance constraints under Gaussian distribution
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Extensions of stochastic optimization results to problems with system failure probability functions
- Regularization methods for optimization problems with probabilistic constraints
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
- Title not available (Why is that?)
- On joint probabilistic constraints with Gaussian coefficient matrix
- Title not available (Why is that?)
- Evaluation of a special multivariate gamma distribution function
- Gradient estimates for Gaussian distribution functions: application to probabilistically constrained optimization problems
- Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
Cited In (20)
- Gradient formulae for probability functions depending on a heterogenous family of constraints
- A discussion of probability functions and constraints from a variational perspective
- Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models
- Pontryagin's principle for some probabilistic control problems
- A comparison of four approaches from stochastic programming for large-scale unit-commitment
- Penalized sample average approximation methods for stochastic programs in economic and secure dispatch of a power system
- Eventual convexity of probability constraints with elliptical distributions
- Second-order differentiability of probability functions
- Flow-based formulations for operational fixed interval scheduling problems with random delays
- Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints
- On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
- Probability functions generated by set-valued mappings: a study of first order information
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
- Derivatives of probability functions: unions of polyhedra and elliptical distributions
- Chance-constrained sets approximation: a probabilistic scaling approach
- Derivative-free approaches for chance-constrained problems with right-hand side uncertainty
- Sharp upper and lower bounds for maximum likelihood solutions to random Gaussian bilateral inequality systems
- On the Convexity of Level-sets of Probability Functions
- Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation
Uses Software
This page was built for publication: Probabilistic constraints via SQP solver: application to a renewable energy management problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2355720)
