A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs

• Published in: Mathematical programming computation Vol. 13; no. 4; pp. 705 - 751
• Main Authors: Kannan, Rohit, Luedtke, James R.
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.12.2021; Springer Nature B.V
• Subjects: Algorithms; Approximation; Constraints; Convergence; Full Length Paper; Mathematics; Mathematics and Statistics; Mathematics of Computing; Operations Research/Decision Theory; Optimization; Smoothing; Theory of Computation; Efficient frontier; Stochastic approximation; Chance constraints; 90C29; 90C15; Stochastic subgradient

We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the efficient frontier of optimal objective value versus risk of co...