Joint dynamic probabilistic constraints with projected linear decision rules

DOI10.1080/10556788.2016.1233972MaRDI QIDQ4594843zbMATH OpenOpenAlexFDO

Authors Vincent Guigues, René Henrion

Publication date 24 November 2017

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.05238

zbMATH Keywords

dynamic probabilistic constraintslinear decision rulesmultistage stochastic linear programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonlinear programming (90C30) Applications of mathematical programming (90C90)

Abstract: We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see type. We establish the relation between the original (infinite dimensional) problem and approximating problems working with projections from different subclasses of decision policies. Considering the subclass of linear decision rules and a generalized linear model for the underlying stochastic process with noises that are Gaussian or truncated Gaussian, we show that the value and gradient of the objective and constraint functions of the approximating problems can be computed analytically.

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Cited in

(6)

• Dynamic probabilistic constraints under continuous random distributions
• On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
• Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
• Constant depth decision rules for multistage optimization under uncertainty
• Threshold Boolean form for joint probabilistic constraints with random technology matrix
• Relaxations for probabilistically constrained stochastic programming problems: review and extensions

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