Global optimization of robust chance constrained problems
نویسندگان
چکیده
منابع مشابه
Global optimization of robust chance constrained problems
We propose a stochastic algorithm for the global optimization of chance constrained problems. We assume that the probability measure with which the constraints are evaluated is known only through its moments. The algorithm proceeds in two phases. In the first phase the probability distribution is (coarsely) discretized and solved to global optimality using a stochastic algorithm. We only assume...
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ژورنال
عنوان ژورنال: Journal of Global Optimization
سال: 2007
ISSN: 0925-5001,1573-2916
DOI: 10.1007/s10898-007-9244-z