Convexity and optimization with copulæ structured probabilistic constraints
From MaRDI portal
Publication:2817219
DOI10.1080/02331934.2016.1179302zbMath1345.49042OpenAlexW2346910096MaRDI QIDQ2817219
Welington de Oliveira, Wim van Ackooij
Publication date: 29 August 2016
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2016.1179302
optimizationconvexityprobabilistic constraintsjoint chance constraintssecond-order conic programmingcopulæregularized supporting hyperplane method
Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Numerical methods based on nonlinear programming (49M37) Control/observation systems with incomplete information (93C41) Optimality conditions for problems involving randomness (49K45) Variants of convex sets (star-shaped, ((m, n))-convex, etc.) (52A30)
Related Items
A discussion of probability functions and constraints from a variational perspective ⋮ Probabilistic optimization via approximate \(p\)-efficient points and bundle methods ⋮ Eventual convexity of probability constraints with elliptical distributions ⋮ Joint chance constrained shortest path problem with Copula theory ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Distributionally robust joint chance-constrained support vector machines ⋮ On the relation between the extended supporting hyperplane algorithm and Kelley's cutting plane algorithm ⋮ Retraction-based first-order feasible methods for difference-of-convex programs with smooth inequality and simple geometric constraints ⋮ Properties of chance constraints in infinite dimensions with an application to PDE constrained optimization ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ On the Convexity of Level-sets of Probability Functions ⋮ Sharp upper and lower bounds for maximum likelihood solutions to random Gaussian bilateral inequality systems ⋮ Flow-based formulations for operational fixed interval scheduling problems with random delays ⋮ Nonsmooth and nonconvex optimization via approximate difference-of-convex decompositions ⋮ Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints ⋮ A derivative-free trust-region algorithm with copula-based models for probability maximization problems
Cites Work
- A stabilized structured Dantzig-Wolfe decomposition method
- Level bundle methods for constrained convex optimization with various oracles
- Convex proximal bundle methods in depth: a unified analysis for inexact oracles
- Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
- Generalized Benders' decomposition for topology optimization problems
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- An integer programming approach for linear programs with probabilistic constraints
- Analysis of decomposition algorithms with Benders cuts for \(p\)-median problem
- On probabilistic constraints induced by rectangular sets and multivariate normal distributions
- Computation of multivariate normal and \(t\) probabilities
- On the choice of explicit stabilizing terms in column generation
- Convexity of chance constraints with independent random variables
- Partitioning procedures for solving mixed-variables programming problems
- L-shaped decomposition of two-stage stochastic programs with integer recourse
- Logic-based Benders decomposition
- Optimization of a continuous distillation process under random inflow rate.
- Metric regularity and quantitative stability in stochastic programs with probabilistic constraints.
- Convexity of chance constrained programming problems with respect to a new generalized concavity notion
- A survey on Benders decomposition applied to fixed-charge network design problems
- New variants of bundle methods
- Bundle methods for sum-functions with ``easy components: applications to multicommodity network design
- On generating maximal nondominated Benders cuts
- Solution of preemptive multi-objective network design problems applying Benders decomposition method
- Estimating the parameters of a fatigue model using Benders' decomposition
- The unit commitment model with concave emissions costs: a hybrid Benders' decomposition with nonconvex master problems
- On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
- The robust shortest path problem with interval data via Benders decomposition
- Generalized Benders decomposition
- The application of generalized Benders decomposition to certain nonconcave programs
- Copula Modeling: An Introduction for Practitioners
- Constrained Bundle Methods for Upper Inexact Oracles with Application to Joint Chance Constrained Energy Problems
- The Cutting-Plane Method for Solving Convex Programs
- Combinatorial Benders' Cuts for Mixed-Integer Linear Programming
- Benders decomposition with alternative multiple cuts for a multi-product closed-loop supply chain network design model
- Accelerating Benders method using covering cut bundle generation
- Accelerating Benders Decomposition: Algorithmic Enhancement and Model Selection Criteria
- Inexact Cuts in Benders Decomposition
- Eventual convexity of chance constrained feasible sets
- The Supporting Hyperplane Method for Unimodal Programming
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- Level function method for quasiconvex programming.
- Capacity and flow assignment of data networks by generalized Benders decomposition
- Benchmarking optimization software with performance profiles.
