A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs

DOI10.1287/IJOC.2020.0982MaRDI QIDQ5085474OpenAlexFDO

Authors Roya Karimi, Jianqiang Cheng, Miguel A. Lejeune

Publication date 27 June 2022

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.2020.0982

zbMATH Keywords

semidefinite programminglinear matrix inequalitiesstochastic programmingchance-constrained programmingsampling-based approximation

Mathematics Subject Classification ID

Numerical analysis (65-XX) Operations research, mathematical programming (90-XX)

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Cites work

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• Linear matrix inequalities with stochastically dependent perturbations and applications to chance-constrained semidefinite optimization
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• Partial sample average approximation method for chance constrained problems
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• Robust Truss Topology Design via Semidefinite Programming
• Robust optimization
• Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
• Solving chance-constrained optimization problems with stochastic quadratic inequalities
• Strong duality in robust semi-definite linear programming under data uncertainty
• The Scenario Approach to Robust Control Design
• Uncertain convex programs: randomized solutions and confidence levels

Cited in

(1)

• A linear approximation method for solving a special class of the chance constrained programming problem

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