Semidefinite programming for chance constrained optimization over semialgebraic sets
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Publication:5501233
DOI10.1137/140958736zbMATH Open1317.90237arXiv1402.6382OpenAlexW1510793184MaRDI QIDQ5501233FDOQ5501233
Authors: Ashkan M. Jasour, N. S. Aybat, Constantino M. Lagoa 
Publication date: 3 August 2015
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Abstract: In this paper, "chance optimization" problems are introduced, where one aims at maximizing the probability of a set defined by polynomial inequalities. These problems are, in general, nonconvex and computationally hard. With the objective of developing systematic numerical procedures to solve such problems, a sequence of convex relaxations based on the theory of measures and moments is provided, whose sequence of optimal values is shown to converge to the optimal value of the original problem. Indeed, we provide a sequence of semidefinite programs of increasing dimension which can arbitrarily approximate the solution of the original problem. To be able to efficiently solve the resulting large-scale semidefinite relaxations, a first-order augmented Lagrangian algorithm is implemented. Numerical examples are presented to illustrate the computational performance of the proposed approach.
Full work available at URL: https://arxiv.org/abs/1402.6382
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Numerical mathematical programming methods (65K05) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Semidefinite programming (90C22) Numerical methods involving duality (49M29) Semialgebraic sets and related spaces (14P10) Sums of squares and representations by other particular quadratic forms (11E25)
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Cited In (17)
- Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
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