An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems

DOI10.1287/ijoc.2020.1001OpenAlexW3097945250MaRDI QIDQ5085476

Xiaodi Bai, Xiao Jin Zheng, Jie Sun

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.2020.1001

zbMATH Keywords

alternating direction method of multipliersaugmented Lagrangian algorithmfinite discrete distributionchance-constrained optimization problemfirst-order stationary point

Mathematics Subject Classification ID

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

Related Items (2)

Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm ⋮ Relaxation schemes for the joint linear chance constraint based on probability inequalities

Uses Software

• SNOPT
• LMaFit

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonlinear chance constrained problems: optimality conditions, regularization and solvers
• A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
• Mixed integer linear programming formulations for probabilistic constraints
• A smoothing function approach to joint chance-constrained programs
• Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
• A modified alternating direction method for convex quadratically constrained quadratic semidefinite programs
• An integer programming approach for linear programs with probabilistic constraints
• Mathematical programming approaches for generating \(p\)-efficient points
• Convexity of chance constraints with independent random variables
• Relaxations for probabilistically constrained programs with discrete random variables
• Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Cell-and-bound algorithm for chance constrained programs with discrete distributions
• A second-order cone programming approach for linear programs with joint probabilistic constraints
• Uncertain convex programs: randomized solutions and confidence levels
• Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
• Augmented Lagrangian method for probabilistic optimization
• Regularization methods for optimization problems with probabilistic constraints
• On joint probabilistic constraints with Gaussian coefficient matrix
• A linear programming approach for linear programs with probabilistic constraints
• A branch-reduce-cut algorithm for the global optimization of probabilistically constrained linear programs
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Chance-Constrained Programming
• Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities
• An alternating direction method for solving convex nonlinear semidefinite programming problems
• Alternating Direction Method with Gaussian Back Substitution for Separable Convex Programming
• Chance-Constrained Binary Packing Problems
• Covering Linear Programming with Violations
• From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
• Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
• The Split Bregman Method for L1-Regularized Problems
• Sharp Bounds on Probabilities Using Linear Programming
• On the Convergence of Augmented Lagrangian Methods for Constrained Global Optimization
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• The Probabilistic Set-Covering Problem
• Lectures on Stochastic Programming
• Optimization and nonsmooth analysis
• A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints
• A branch and bound method for stochastic integer problems under probabilistic constraints
• Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
• The Scenario Approach to Robust Control Design
• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
• Probabilistically Constrained Linear Programs and Risk-Adjusted Controller Design
• Chance Constrained Programming with Joint Constraints
• Convex Approximations of Chance Constrained Programs
• Bregman Iterative Algorithms for $\ell_1$-Minimization with Applications to Compressed Sensing
• Augmented Lagrangian alternating direction method for matrix separation based on low-rank factorization
• Concavity and efficient points of discrete distributions in probabilistic programming.

This page was built for publication: An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems