An Inner-Outer Approximation Approach to Chance Constrained Optimization
| Autor: | Armin Hoffmann, Michael Klöppel, Abebe Geletu, Pu Li |
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| Rok vydání: | 2017 |
| Předmět: |
Work (thermodynamics)
Mathematical optimization 021103 operations research 0211 other engineering and technologies Constrained optimization Approximation algorithm 010103 numerical & computational mathematics 02 engineering and technology Solver 01 natural sciences Theoretical Computer Science Nonlinear programming Nonlinear system A priori and a posteriori 0101 mathematics Software Parametric statistics Mathematics |
| Zdroj: | SIAM Journal on Optimization. 27:1834-1857 |
| ISSN: | 1095-7189 1052-6234 |
| Popis: | Nonlinear chance constrained optimization (CCOPT) problems are known to be difficult to solve. This work proposes a smooth approximation approach consisting of an inner and an outer analytic approximation of chance constraints. In this way, CCOPT is approximated by two parametric nonlinear programming (NLP) problems which can be readily solved by an NLP solver. Any optimal solution of the inner approximation problem is a priori feasible to the CCOPT. The solutions of the inner and outer problems, respectively, converge asymptotically to the optimal solution of the CCOPT. |
| Databáze: | OpenAIRE |
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