We introduce a new method for solving nonlinear continuous optimization problems with chance constraints. Our method is based on a reformulation of the probabilistic constraint as a quantile function. The quantile function is approximated via a differentiable sample average approximation. We provide theoretical statistical guarantees of the approximation, and illustrate empirically that the reformulation can be directly used by standard nonlinear optimization solvers in the case of single chance constraints. Furthermore, we propose an Sl1QP-type trust-region method to solve instances with joint chance constraints. We demonstrate the performance of the method on several problems, and show that it scales well with the sample size and that the smoothing can be used to counteract the bias in the chance constraint approximation induced by the sample approximation.
Citation
SIAM Journal on Optimization 30 (3), 2221-2250