A survey on probabilistically constrained optimization problems

Xiaodi Bai; Xiaojin Zheng; Xiaoling Sun

doi:10.3934/naco.2012.2.767

Article Contents

2012, Volume 2, Issue 4: 767-778. Doi: 10.3934/naco.2012.2.767

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A survey on probabilistically constrained optimization problems

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

Received: November 2011

Revised: October 2012

Published: October 2012

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Abstract

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.

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Mathematics Subject Classification: Primary: 91C15; Secondary: 90C26.

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