Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation
From MaRDI portal
Publication:5116556
DOI10.1137/19M1261985zbMath1448.90065arXiv1905.07377OpenAlexW3048727147MaRDI QIDQ5116556
Alejandra Peña-Ordieres, Andreas Wächter, James R. Luedtke
Publication date: 18 August 2020
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.07377
smoothingsequential quadratic programmingnonlinear optimizationchance constraintstrust regionquantile functionsample average approximation
Nonlinear programming (90C30) Stochastic programming (90C15) Methods of successive quadratic programming type (90C55)
Related Items
ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs, Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs, Optimization under Rare Chance Constraints, Gradients and subgradients of buffered failure probability, Derivatives of probability functions: unions of polyhedra and elliptical distributions, Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs, On data-driven chance constraint learning for mixed-integer optimization problems, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, Approximate methods for solving chance-constrained linear programs in probability measure space, Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency, Statistical learning for probability-constrained stochastic optimal control, A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
- An integer programming approach for linear programs with probabilistic constraints
- Computation of multivariate normal and \(t\) probabilities
- Sample average approximation method for chance constrained programming: Theory and applications
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- Optimization of a continuous distillation process under random inflow rate.
- (Sub-)differentiability of probability functions with elliptical distributions
- Subdifferential characterization of probability functions under Gaussian distribution
- Uncertain convex programs: randomized solutions and confidence levels
- Probabilistic constraints via SQP solver: application to a renewable energy management problem
- Joint chance constrained programming for hydro reservoir management
- A nonparametric approach to calculating value-at-risk
- A Sequential Quadratic Programming Algorithm for Nonconvex, Nonsmooth Constrained Optimization
- Chance-Constrained Optimal Power Flow: Risk-Aware Network Control under Uncertainty
- Chance-Constrained Binary Packing Problems
- Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
- Constrained Bundle Methods for Upper Inexact Oracles with Application to Joint Chance Constrained Energy Problems
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Kernel density estimation revisited
- Trust Region Methods
- A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints
- A Critical Note on Empirical (Sample Average, Monte Carlo) Approximation of Solutions to Chance Constrained Programs
- On probabilistic capacity maximization in a stationary gas network
- Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
- Probability Inequalities for Sums of Bounded Random Variables
- An Inner-Outer Approximation Approach to Chance Constrained Optimization
- Structural properties of linear probabilistic constraints
- Convex Approximations of Chance Constrained Programs
- Subroutines for computing normal probabilities of sets -- computer experiences
