On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
dc.bibliographicCitation.date | 2022 | |
dc.bibliographicCitation.firstPage | 1 | |
dc.bibliographicCitation.journalTitle | Mathematical methods of operations research : ZOR | eng |
dc.bibliographicCitation.lastPage | 37 | |
dc.bibliographicCitation.volume | 96 | |
dc.contributor.author | Berthold, Holger | |
dc.contributor.author | Heitsch, Holger | |
dc.contributor.author | Henrion, René | |
dc.contributor.author | Schwientek, Jan | |
dc.date.accessioned | 2022-06-20T06:55:44Z | |
dc.date.available | 2022-06-20T06:55:44Z | |
dc.date.issued | 2021 | |
dc.description.abstract | We present an adaptive grid refinement algorithm to solve probabilistic optimization problems with infinitely many random constraints. Using a bilevel approach, we iteratively aggregate inequalities that provide most information not in a geometric but in a probabilistic sense. This conceptual idea, for which a convergence proof is provided, is then adapted to an implementable algorithm. The efficiency of our approach when compared to naive methods based on uniform grid refinement is illustrated for a numerical test example as well as for a water reservoir problem with joint probabilistic filling level constraints. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9072 | |
dc.identifier.uri | https://doi.org/10.34657/8110 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin ; Heidelberg : Springer | eng |
dc.relation.doi | https://doi.org/10.1007/s00186-021-00764-8 | |
dc.relation.essn | 1432-5217 | |
dc.rights.license | CC BY 4.0 Unported | eng |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | eng |
dc.subject.ddc | 330 | eng |
dc.subject.ddc | 510 | eng |
dc.subject.other | Adaptive discretization | eng |
dc.subject.other | Bilevel optimization | eng |
dc.subject.other | Chance constraints | eng |
dc.subject.other | Probabilistic constraints | eng |
dc.subject.other | Probust constraints | eng |
dc.subject.other | Reservoir management | eng |
dc.subject.other | Semi-infinite optimization | eng |
dc.title | On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints | eng |
dc.type | Article | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Zeitschriftenartikel | eng |
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