A sequential convex program method to DC program with joint chance constraints
نویسندگان
چکیده
منابع مشابه
Using quadratic convex reformulation to tighten the convex relaxation of a quadratic program with complementarity constraints
Quadratic Convex Reformulation (QCR) is a technique that has been proposed for binary and mixed integer quadratic programs. In this paper, we extend the QCR method to convex quadratic programs with linear complementarity constraints (QPCCs). Due to the complementarity relationship between the nonnegative variables y and w, a term yDw can be added to the QPCC objective function, where D is a non...
متن کاملSequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
When there is parameter uncertainty in the constraints of a convex optimization problem, it is natural to formulate the problem as a joint chance constrained program (JCCP) which requires that all constraints be satisfied simultaneously with a given large probability. In this paper, we propose to solve the JCCP by a sequence of convex approximations. We show that the solutions of the sequence o...
متن کاملMultiobjective DC Programming with Infinite Convex Constraints
In this paper new results are established in multiobjective DC programming with infinite convex constraints (MOPIC for abbr.) that are defined on Banach space (finite or infinite) with objectives given as the difference of convex functions subject to infinite convex constraints. This problem can also be called multiobjective DC semi-infinite and infinite programming, where decision variables ru...
متن کاملOptimal Control with Fuzzy Chance Constraints
In this paper, a model of an optimal control problem with chance constraints is introduced. The parametersof the constraints are fuzzy, random or fuzzy random variables. Todefuzzify the constraints, we consider possibility levels. Bychance-constrained programming the chance constraints are converted to crisp constraints which are neither fuzzy nor stochastic and then the resulting classical op...
متن کاملSequential Convex Programming Methods for Solving Nonlinear Optimization Problems with DC constraints
This paper investigates the relation between sequential convex programming (SCP) as, e.g., defined in [24] and DC (difference of two convex functions) programming. We first present an SCP algorithm for solving nonlinear optimization problems with DC constraints and prove its convergence. Then we combine the proposed algorithm with a relaxation technique to handle inconsistent linearizations. Nu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Industrial and Management Optimization
سال: 2012
ISSN: 1547-5816
DOI: 10.3934/jimo.2012.8.733