A polynomial approximation-based approach for chance-constrained optimization

DOI10.1080/10556788.2017.1364737zbMATH Open1416.90025OpenAlexW2749004184MaRDI QIDQ4646676FDOQ4646676

Authors: Lijian Chen 

Publication date: 14 January 2019

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

Full work available at URL: https://doi.org/10.1080/10556788.2017.1364737

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zbMATH Keywords

simulationconvex optimizationchance-constrained optimization

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Cites Work

• Asymptotic Statistics
• Chance-constrained programming
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• Exact penalty functions in nonlinear programming
• Convex Approximations of Chance Constrained Programs
• Chance Constrained Programming with Joint Constraints
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• Lectures on stochastic programming. Modeling and theory.
• Sample average approximation method for chance constrained programming: Theory and applications
• A branch and bound method for stochastic integer problems under probabilistic constraints
• A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
• An integer programming approach for linear programs with probabilistic constraints
• Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
• Dual methods for probabilistic optimization problems.
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• Log-concavity and strong log-concavity: a review
• Chance constrained programming models for refinery short-term crude oil scheduling problem
• An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
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• Approximation of convex data

Cited In (4)

• Probabilistic Algorithm for Polynomial Optimization over a Real Algebraic Set
• Stochastic polynomial optimization
• Robust approximation of chance constrained optimization with polynomial perturbation
• An approximation-based approach for chance-constrained vehicle routing and air traffic control problems

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