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A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs.

Rohit KannanJames R. Luedtke
Published in: Math. Program. Comput. (2021)
Keyphrases
  • cost function
  • dynamic programming
  • lower bound
  • mathematical model
  • sufficient conditions
  • input output
  • stochastic approximation