A sample approximation approach for optimization with probabilistic constraints

SIAM Journal on Optimization

Volumn 19, Issue 2, 2008, Pages 674-699

  Luedtke, James ^a   Ahmed, Shabbir ^a  

^a Georgia Institute of Technology   (United States)

Author keywords

Chance constraints; Large deviation; Monte Carlo; Probabilistic constraints; Stochastic programming

Indexed keywords

A-PRIORI ESTIMATES; APPROXIMATION APPROACH; APPROXIMATION PROBLEMS; CHANCE CONSTRAINTS; EMPIRICAL DISTRIBUTIONS; FEASIBLE SOLUTION; HIGH CONFIDENCE; HIGH PROBABILITY; LARGE DEVIATION; LOWER BOUNDS; MONTE CARLO; OPTIMAL VALUES; OPTIMALITY; OPTIMIZATION PROBLEMS; PROBABILISTIC CONSTRAINTS; RANDOM SAMPLE; RANDOM VECTORS; RISK LEVELS; SAMPLE SIZES;

CONTROL THEORY; MONTE CARLO METHODS; NONLINEAR EQUATIONS; OPTIMIZATION; RANDOM PROCESSES; RISK PERCEPTION; STOCHASTIC PROGRAMMING;

PROBABILITY DISTRIBUTIONS;

EID: 67649566847     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/070702928     Document Type: Article

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