| bibtype |
J -
Journal Article
|
| ARLID |
0460909 |
| utime |
20240103212422.5 |
| mtime |
20160721235959.9 |
| SCOPUS |
84966573884 |
| WOS |
000380275600004 |
| DOI |
10.1007/s10957-016-0943-9 |
| title
(primary) (eng) |
Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers |
| specification |
| page_count |
18 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257061 |
| ISSN |
0022-3239 |
| title
|
Journal of Optimization Theory and Applications |
| volume_id |
170 |
| volume |
2 (2016) |
| page_num |
419-436 |
| publisher |
|
|
| keyword |
Chance constrained programming |
| keyword |
Optimality conditions |
| keyword |
Regularization |
| keyword |
Algorithms |
| keyword |
Free MATLAB codes |
| author
(primary) |
| ARLID |
cav_un_auth*0309054 |
| full_dept (cz) |
Matematická teorie rozhodování |
| full_dept (eng) |
Department of Decision Making Theory |
| department (cz) |
MTR |
| department (eng) |
MTR |
| full_dept |
Department of Decision Making Theory |
| name1 |
Adam |
| name2 |
Lukáš |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0280972 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Decision Making Theory |
| name1 |
Branda |
| name2 |
Martin |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0321507 |
| project_id |
GA15-00735S |
| agency |
GA ČR |
|
| abstract
(eng) |
We deal with chance constrained problems with differentiable nonlinear random functions and discrete distribution. We allow nonconvex functions both in the constraints and in the objective. We reformulate the problem as a mixed-integer nonlinear program and relax the integer variables into continuous ones. We approach the relaxed problem as a mathematical problem with complementarity constraints and regularize it by enlarging the set of feasible solutions. For all considered problems, we derive necessary optimality conditions based on Fréchet objects corresponding to strong stationarity. We discuss relations between stationary points and minima. We propose two iterative algorithms for finding a stationary point of the original problem. The first is based on the relaxed reformulation, while the second one employs its regularized version. |
| RIV |
BB |
| reportyear |
2017 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0261533 |
| confidential |
S |
| mrcbC86 |
1* Article Operations Research Management Science|Mathematics Applied |
| mrcbT16-e |
MATHEMATICSAPPLIED|OPERATIONSRESEARCHMANAGEMENTSCIENCE |
| mrcbT16-j |
0.837 |
| mrcbT16-s |
1.092 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
68.758 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q2 |
| arlyear |
2016 |
| mrcbU14 |
84966573884 SCOPUS |
| mrcbU34 |
000380275600004 WOS |
| mrcbU63 |
cav_un_epca*0257061 Journal of Optimization Theory and Applications 0022-3239 1573-2878 Roč. 170 č. 2 2016 419 436 Springer |
|