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

DOI10.1007/S00186-024-00859-YMaRDI QIDQ6540478zbMATH OpenFDO

Authors Yonghong Ren, Yuchao Sun, Dachen Li, Fangfang Guo

Publication date 15 May 2024

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

Full work available at URL https://doi.org/10.1007/S00186-024-00859-Y

zbMATH Keywords

Chen-Harker-Kanzow-Smale smooth plus functionD.C. approximationprobabilistic constrained optimization problemsample average approximationsequential convex approximation

Mathematics Subject Classification ID

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

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Cites work

• A class of smoothing functions for nonlinear and mixed complementarity problems
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• A smooth approximation approach for optimization with probabilistic constraints based on sigmoid function
• A smoothing function approach to joint chance-constrained programs
• A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
• ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs
• Chance Constrained Programming with Joint Constraints
• Lectures on Stochastic Programming
• Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
• On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
• Robust solutions of linear programming problems contaminated with uncertain data
• Sample average approximation method for chance constrained programming: Theory and applications
• Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
• Solving chance-constrained problems via a smooth sample-based nonlinear approximation
• The Scenario Approach to Robust Control Design
• Uncertain convex programs: randomized solutions and confidence levels
• Variational Analysis

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