Probabilistic optimization via approximate p-efficient points and bundlen methods

摘要

For problems when decisions are taken prior to observing the realization of underlying random events, probabilistic constraints are an important modeling tool if reliability is a concern. A key concept to numerically dealing with probabilistic constraints is that of p-efficient points. By adopting a dual point of view, we develop a solution framework that includes and extends various existing formulations. The unifying approach is built on the basis of a recent generation of bundle methods calle