Solving chance-constrained problems via a smooth sample-based nonlinear approximation

ALEJANDRA PENA-ORDIERES, JAMES R. LUEDTKE, ANDREAS WACHTER

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

We introduce a new method for solving nonlinear continuous optimization problems with chance constraints. Our method is based on a reformulation of the probabilistic constraint as a quantile function. The quantile function is approximated via a differentiable sample average approximation. We provide theoretical statistical guarantees of the approximation and illustrate empirically that the reformulation can be directly used by standard nonlinear optimization solvers in the case of single chance constraints. Furthermore, we propose an S'1QP-type trust-region method to solve instances with joint chance constraints. We demonstrate the performance of the method on several problems and show that it scales well with the sample size and that the smoothing can be used to counteract the bias in the chance constraint approximation induced by the sample approximation.

Original languageEnglish (US)
Pages (from-to)2221-2250
Number of pages30
JournalSIAM Journal on Optimization
Volume30
Issue number3
DOIs
StatePublished - 2020

Keywords

  • Chance constraints
  • Nonlinear optimization
  • Quantile function
  • Sample average approximation
  • Sequential quadratic programming
  • Smoothing
  • Trust region

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science

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