Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00460909" target="_blank" >RIV/67985556:_____/16:00460909 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/16:10326687
Result on the web
<a href="http://dx.doi.org/10.1007/s10957-016-0943-9" target="_blank" >http://dx.doi.org/10.1007/s10957-016-0943-9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10957-016-0943-9" target="_blank" >10.1007/s10957-016-0943-9</a>
Alternative languages
Result language
angličtina
Original language name
Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA15-00735S" target="_blank" >GA15-00735S: Stability analysis of optima and equilibria in economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Optimization Theory and Applications
ISSN
0022-3239
e-ISSN
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Volume of the periodical
170
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
18
Pages from-to
419-436
UT code for WoS article
000380275600004
EID of the result in the Scopus database
2-s2.0-84966573884