Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach

Operations Research

Volumn 59, Issue 3, 2011, Pages 617-630

  Hong, L Jeff ^a   Yang, Yi ^b   Zhang, Liwei ^c  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b Irvine   (United States)

^c DALIAN UNIVERSITY OF TECHNOLOGY   (China)

Author keywords

Programming; Stochastic: chance constrained program

Indexed keywords

ASYMPTOTIC REGIMES; CHANCE-CONSTRAINED; CONVEX APPROXIMATION; CONVEX OPTIMIZATION PROBLEMS; GRADIENT BASED; KARUSH KUHN TUCKERS; MONTE CARLO APPROACH; PARAMETER UNCERTAINTY;

CONSTRAINED OPTIMIZATION; CONVEX OPTIMIZATION;

MONTE CARLO METHODS;

EID: 79960543321     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1100.0910     Document Type: Article

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