A Sample Approximation Approach for Optimization with Probabilistic Constraints.
James R. LuedtkeShabbir AhmedPublished in: SIAM J. Optim. (2008)
Keyphrases
- constrained optimization
- probabilistic model
- optimization algorithm
- optimization process
- global optimization
- optimization methods
- bayesian networks
- constraint programming
- combinatorial optimization
- generative model
- global constraints
- mixed integer
- decision variables
- closed form
- linear program
- sample size
- optimization problems
- probability theory
- lagrange multipliers
- discrete optimization
- monte carlo sampling
- dual variables