A D.C. approximation approach for optimization with probabilistic constraints based on Chen-Harker-Kanzow-Smale smooth plus function

DOI10.1007/S00186-024-00859-YzbMATH Open1546.90094MaRDI QIDQ6540478FDOQ6540478

Dachen Li, Yuchao Sun, Fangfang Guo, Yonghong Ren

Publication date: 15 May 2024

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

zbMATH Keywords

sample average approximationsequential convex approximationprobabilistic constrained optimization problemD.C. approximationChen-Harker-Kanzow-Smale smooth plus function

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

Cites Work

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• On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
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• A smoothing function approach to joint chance-constrained programs
• ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs
• Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation
• A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
• A smooth approximation approach for optimization with probabilistic constraints based on sigmoid function

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