Machine learning approach to chance-constrained problems: An algorithm based on the stochastic gradient descent

We consider chance-constrained problems with discrete random distribution. We aim for problems with a large number of scenarios. We propose a novel method based on the stochastic gradient descent method which performs updates of the decision variable based only on looking at a few scenarios. We modify it to handle the non-separable objective. A complexity analysis and a comparison with the standard (batch) gradient descent method is provided. We give three examples with non-convex data and show that our method provides a good solution fast even when the number of scenarios is large.

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