Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11320/16:10326687

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

<a href="/cs/project/GA15-00735S" target="_blank" >GA15-00735S: Analýza stability optim a ekvilibrií v ekonomii</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Optimization Theory and Applications

ISSN

0022-3239

e-ISSN

—

Svazek periodika

170

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

18

Strana od-do

419-436

Kód UT WoS článku

000380275600004

EID výsledku v databázi Scopus

2-s2.0-84966573884