# American Institute of Mathematical Sciences

2012, 2(4): 767-778. doi: 10.3934/naco.2012.2.767

## A survey on probabilistically constrained optimization problems

 1 School of Management, Fudan University, Shanghai 200433, China 2 School of Economics and Management, Tongji University, Shanghai 200092, China

Received  November 2011 Revised  October 2012 Published  November 2012

Probabilistically constrained optimization problems are an important class of stochastic programming problems with wide applications in finance, management and engineering planning. In this paper, we summarize some important solution methods including convex approximation, DC approach, scenario approach and integer programming approach. We also discuss some future research perspectives on the probabilistically constrained optimization problems.
Citation: Xiaodi Bai, Xiaojin Zheng, Xiaoling Sun. A survey on probabilistically constrained optimization problems. Numerical Algebra, Control & Optimization, 2012, 2 (4) : 767-778. doi: 10.3934/naco.2012.2.767
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