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Author: Henrion, René × Subject: Chance constraints ×

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    On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
    (Berlin ; Heidelberg : Springer, 2021) Berthold, Holger; Heitsch, Holger; Henrion, René; Schwientek, Jan
    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.
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    Chance constraints in PDE constrained optimization
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Farshbaf-Shaker, M. Hassan; Henrion, René; Hömberg, Dietmar
    Chance constraints represent a popular tool for finding decisions that enforce a robust satisfaction of random inequality systems in terms of probability. They are widely used in optimization problems subject to uncertain parameters as they arise in many engineering applications. Most structural results of chance constraints (e.g., closedness, convexity, Lipschitz continuity, differentiability etc.) have been formulated in a finite-dimensional setting. The aim of this paper is to generalize some of these well-known semi-continuity and convexity properties to a setting of control problems subject to (uniform) state chance constraints.