نتایج جستجو برای: chance constraints

تعداد نتایج: 221566  

2014
Jianqiang Cheng Céline Gicquel Abdel Lisser

In this paper, we present a new scheme of a sampling method to solve chance constrained programs. First of all, a modified sample average approximation, namely Partial Sample Average Approximation (PSAA) is presented. The main advantage of our approach is that the PSAA problem has only continuous variables whilst the standard sample average approximation (SAA) contains binary variables. Althoug...

Journal: :CoRR 2014
Stefan Streif Matthias Karl Ali Mesbah

This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost function in terms of expected values and higher moments of the states, and chance constraints that ensure probabilistic constraint satisfaction. The general...

2015
Shaoyan Guo Huifu Xu Liwei Zhang

Stability analysis for optimization problems with chance constraints concerns impact of variation of probability measure in the chance constraints on the optimal value and optimal solutions and research on the topic has been well documented in the literature of stochastic programming. In this paper, we extend such analysis to optimization problems with distributionally robust chance constraints...

2011
Maxence V. Nachury

How did I get to become a cell biologist? Or, more generally, why do things happen the way they do? The answer provided by the philosopher Democritus and later adopted by Jacques Monod is "everything existing in the universe is the fruit of chance and necessity." While I read Monod's book Chance and Necessity as an undergraduate student, little did I appreciate the accuracy of this citation and...

Journal: :SIAM Journal on Optimization 2017
Shaoyan Guo Huifu Xu Liwei Zhang

Convergence analysis for optimization problems with chance constraints concerns impact of variation of probability measure in the chance constraints on the optimal value and the optimal solutions and research on this topic has been well documented in the literature of stochastic programming. In this paper, we extend such analysis to optimization problems with distributionally robust chance cons...

2016
Vikas Vikram Singh Abdel Lisser

We consider a two player finite strategic zero-sum game where each player has stochastic linear constraints. We formulate the stochastic constraints of each player as chance constraints. We show the existence of a saddle point equilibrium if the row vectors of the random matrices, defining the stochastic constraints of each player, are elliptically symmetric distributed random vectors. We furth...

Journal: :Management Science 2010
Itay Gurvich James R. Luedtke Tolga Tezcan

W consider the problem of staffing call centers with multiple customer classes and agent types operating under quality-of-service (QoS) constraints and demand rate uncertainty. We introduce a formulation of the staffing problem that requires that the QoS constraints are met with high probability with respect to the uncertainty in the demand rate. We contrast this chance-constrained formulation ...

Journal: :SIAM Journal on Optimization 1998
Masao Fukushima Jong-Shi Pang

This paper is concerned with some feasibility issues in mathematical programs with equilibrium constraints (MPECs) where additional joint constraints are present that must be satis ed by the state and design variables of the problems. We introduce su cient conditions that guarantee the feasibility of these MPECs. It turns out that these conditions also guarantee the feasibility of the quadratic...

2008
Lars Blackmore

In this paper we consider finite-horizon predictive control of dynamic systems subject to stochastic uncertainty; such uncertainty arises due to exogenous disturbances, modeling errors, and sensor noise. Stochastic robustness is typically defined using chance constraints, which require that the probability of state constraints being violated is below a prescribed value. Prior work showed that i...

Journal: :Energy 2022

Island Microgrids can coordinate local energy resources, provide post-fault reliability improvements for customers, and aggregate power resources to offer services the wider system. A crucial component of an Microgrid is battery storage system, which manage imbalances, alleviate constraints, improve by enabling islanding. planning sizing method required quantify maximize benefits while avoiding...

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