Prof. Dr. Abdel Lisser (Univ. Paris Sud)

Optimizing with probabilistic constraints

Abstract :
In stochastic programming, dealing with probabilistic constraints is one of the major challenges. While solving individual chance constraints problems remains tractable, dealing with joint probabilistic constraints is still a hard problem. Such problems are not convex, and finding a feasible solution is a hard problem.

In this talk, we present a recent approach based on SOCP approximations to solve this problem when the random variables are independent and normally distributed. Numerical results are given to show the effectiveness of our approach.