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Communication Dans Un Congrès Année : 2014

A modified sample approximation method for chance constrained problems

Résumé

In this talk, we present a modified sample approximation (SA) method to solve the chance constrained problems. We show that the modified SA problem has similar convergence properties as the previous SA approximation one. Moreover, the modified SA problem is convex under some conditions. Finally, numerical experiments are conducted to illustrate the strength of the modified SA approach.
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Dates et versions

hal-01120302 , version 1 (25-02-2015)

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  • HAL Id : hal-01120302 , version 1

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Jianqiang Cheng, Céline Gicquel, Abdel Lisser. A modified sample approximation method for chance constrained problems. SIAM Conference on optimization 2014, May 2014, San Diego, United States. ⟨hal-01120302⟩
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