An Inner-Outer Approximation Approach to Chance Constrained Optimization.
Abebe GeletuArmin HoffmannMichael KlöppelPu LiPublished in: SIAM J. Optim. (2017)
Keyphrases
- chance constrained
- stochastic programming
- robust optimization
- chance constraints
- multistage
- linear program
- approximation algorithms
- chance constrained programming
- optimization problems
- mathematical programming
- optimization algorithm
- feature space
- markov decision processes
- combinatorial optimization
- knapsack problem
- computationally tractable