A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints
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Publication:4637499
DOI10.1137/16M109003XzbMath1396.90052OpenAlexW2626767683MaRDI QIDQ4637499
Andreas Wächter, Victor M. Zavala, Frank E. Curtis
Publication date: 24 April 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m109003x
nonlinear optimizationcardinality constraintsexact penalizationchance constraintssample average approximationtrust region methodssequential quadratic optimization
Nonlinear programming (90C30) Stochastic programming (90C15) Methods of successive quadratic programming type (90C55)
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