Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs

DOI10.1137/22M1528045zbMATH Open1522.90054OpenAlexW4386096643MaRDI QIDQ6046828FDOQ6046828

Authors: Hamed Rahimian, Bernardo K. Pagnoncelli 

Publication date: 6 September 2023

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/22m1528045

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zbMATH Keywords

large deviationschance constraintsstochastic programmingdata-driven optimization

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Minimax problems in mathematical programming (90C47)

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Cited In (2)

• Data-driven chance constrained stochastic program
• Data-driven approximate value iteration with optimality error bound analysis

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