Scenario approximations of chance constraints

zbMATH Open1181.90248MaRDI QIDQ5201292FDOQ5201292

Authors: Arkadi Nemirovski, Alexander Shapiro 

Publication date: 18 April 2006

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Mathematics Subject Classification ID

Nonlinear programming (90C30)

Cited In (73)

• Probability to achieve TSC goal
• Enhanced branch-and-bound algorithm for chance constrained programs with Gaussian mixture models
• Joint chance-constrained multi-objective multi-commodity minimum cost network flow problem with copula theory
• Optimization under rare chance constraints
• Parametric scenario optimization under limited data: a distributionally robust optimization view
• Modality for scenario analysis and maximum likelihood allocation
• Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints
• A polynomial-time algorithm for a nonconvex chance-constrained program under the normal approximation
• Non-convex multiobjective optimization under uncertainty: a descent algorithm. Application to sandwich plate design and reliability
• Efficient Scenario Generation for Heavy-Tailed Chance Constrained Optimization
• Chance constrained problems: penalty reformulation and performance of sample approximation technique
• A robust approach to warped Gaussian process-constrained optimization
• Analysis of a chance-constrained new product risk model with multiple customer classes
• Large-scale unit commitment under uncertainty: an updated literature survey
• Convex Approximations of Chance Constrained Programs
• An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems
• Risk and complexity in scenario optimization
• An exact algorithm for the maximum probabilistic clique problem
• A relaxation algorithm with a probabilistic guarantee for robust deviation optimization
• A critical note on empirical (Sample average, Monte Carlo) approximation of solutions to chance constrained programs
• Probabilistic guarantees in robust optimization
• On quantile cuts and their closure for chance constrained optimization problems
• Scenario MIN-MAX optimization and the risk of empirical costs
• An inner-outer approximation approach to chance constrained optimization
• Bicriteria approximation of chance-constrained covering problems
• Stochastic joint homecare service and capacity planning with nested decomposition approaches
• Semidefinite programming for chance constrained optimization over semialgebraic sets
• Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs
• Probabilistic partial set covering with an oracle for chance constraints
• Data-driven chance constrained stochastic program
• On safe tractable approximations of chance-constrained linear matrix inequalities
• A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
• Stochastic programming approach to optimization under uncertainty
• Solving chance-constrained problems via a smooth sample-based nonlinear approximation
• A robust signal control system for equilibrium flow under uncertain travel demand and traffic delay
• On distributionally robust chance constrained programs with Wasserstein distance
• Statistical learning for probability-constrained stochastic optimal control
• Branch-and-cut approaches for chance-constrained formulations of reliable network design problems
• A robust approach to the chance-constrained knapsack problem
• A composite risk measure framework for decision making under uncertainty
• Gradient-based simulation optimization under probability constraints
• Cutting plane algorithms for solving a stochastic edge-partition problem
• Optimizing financial and physical assets with chance-constrained programming in the electrical industry
• Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
• On two-stage convex chance constrained problems
• Large-scale unit commitment under uncertainty
• On the sample size of random convex programs with structured dependence on the uncertainty
• Probability maximization via Minkowski functionals: convex representations and tractable resolution
• Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
• Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
• Tractable algorithms for chance-constrained combinatorial problems
• Rectangular chance constrained geometric optimization
• Optimized Bonferroni approximations of distributionally robust joint chance constraints
• Moment inequalities for sums of random matrices and their applications in optimization
• Solving chance-constrained combinatorial problems to optimality
• A sparse chance constrained portfolio selection model with multiple constraints
• Randomized solutions to convex programs with multiple chance constraints
• A stochastic multiple gradient descent algorithm
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• On safe tractable approximations of chance constraints
• Multi-resource allocation in stochastic project scheduling
• Scenario approximation of robust and chance-constrained programs
• Technical note -- two-stage sample robust optimization
• Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
• Chance-Constrained Binary Packing Problems
• Reliable approximations of probability-constrained stochastic linear-quadratic control
• Data-driven robust chance constrained problems: a mixture model approach
• Joint chance-constrained staffing optimization in multi-skill call centers
• Primal-Dual Stochastic Gradient Method for Convex Programs with Many Functional Constraints
• Frameworks and results in distributionally robust optimization
• Wait-and-judge scenario optimization
• From infinite to finite programs: explicit error bounds with applications to approximate dynamic programming
• Robust optimization approximation for joint chance constrained optimization problem

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