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End date: 2024 × Start date: 2020 × Type: article × Subject: Chance constraints × WGL Institute: WIAS ×

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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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    Dynamic probabilistic constraints under continuous random distributions
    (Berlin ; Heidelberg : Springer, 2020) González Grandón, T.; Henrion, R.; Pérez-Aros, P.
    The paper investigates analytical properties of dynamic probabilistic constraints (chance constraints). The underlying random distribution is supposed to be continuous. In the first part, a general multistage model with decision rules depending on past observations of the random process is analyzed. Basic properties like (weak sequential) (semi-) continuity of the probability function or existence of solutions are studied. It turns out that the results differ significantly according to whether decision rules are embedded into Lebesgue or Sobolev spaces. In the second part, the simplest meaningful two-stage model with decision rules from L2 is investigated. More specific properties like Lipschitz continuity and differentiability of the probability function are considered. Explicitly verifiable conditions for these properties are provided along with explicit gradient formulae in the Gaussian case. The application of such formulae in the context of necessary optimality conditions is discussed and a concrete identification of solutions presented. © 2020, The Author(s).