Dual methods for probabilistic optimization problems.

DOI10.1007/S001860400371zbMATH Open1076.90038OpenAlexW2010811500MaRDI QIDQ703157FDOQ703157

Authors: Bogumila Lai, Darinka Dentcheva, Andrzej Ruszczyński 

Publication date: 11 January 2005

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

Full work available at URL: https://doi.org/10.1007/s001860400371

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Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15)

Cited In (35)

• Probabilistic version of the method of feasible directions.
• Mathematical programming approaches for generating \(p\)-efficient points
• Convergence analysis on a smoothing approach to joint chance constrained programs
• A dual method for probabilistic constrained problems
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• Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
• Optimization models with probabilistic constraints
• Duality for linear chance-constrained optimization problems
• Scenario MIN-MAX optimization and the risk of empirical costs
• A sequential algorithm for solving nonlinear optimization problems with chance constraints
• Gradient and Hessian of joint probability function with applications on chance-constrained programs
• Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs
• A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
• Mixed integer linear programming formulations for probabilistic constraints
• Regularization methods for optimization problems with probabilistic constraints
• Linearization methods for optimization of functionals which depend on probability measures
• Concavity and efficient points of discrete distributions in probabilistic programming.
• Title not available (Why is that?)
• Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support
• A smoothing function approach to joint chance-constrained programs
• Augmented Lagrangian method for probabilistic optimization
• IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation
• Gaining traction: on the convergence of an inner approximation scheme for probability maximization
• Chance constrained unit commitment approximation under stochastic wind energy
• A polynomial approximation-based approach for chance-constrained optimization
• Pattern definition of the \(p\)-efficiency concept
• Probabilistic optimization via approximate \(p\)-efficient points and bundle methods
• On risk evaluation and control of distributed multi-agent systems
• Derivatives of probability functions: unions of polyhedra and elliptical distributions
• Chance-constrained sets approximation: a probabilistic scaling approach
• Generalized differentiation of probability functions acting on an infinite system of constraints
• New sufficient conditions for strong unimodality of multivariate discrete distributions
• A class of mix design problems: formulation, solution methods and applications
• A gradient formula for linear chance constraints under Gaussian distribution

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