Filters

20211

More filters

20221
Reset filters

Settings

End date: 2024 Ă— Start date: 2020 Ă— DDC: 330 Ă— Type: article Ă— Subject: Chance constraints Ă— WGL Institute: WIAS Ă—

Search Results

Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    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.