Yankai Cao We propose a sigmoidal approximation (SigVaR) for the value-at-risk (VaR) and we use this approximation to tackle nonlinear programming problems (NLPs) with chance constraints. We prove that the approximation is conservative and that the level of conservatism can be made arbitrarily small for limiting parameter values. The SigVar approximation brings computational benefits over exact mixed-integer … Read more
We propose a global optimization algorithm for stochastic nonlinear programs that uses a specialized spatial branch and bound (BB) strategy to exploit the nearly decomposable structure of the problem. In particular, at each node in the BB scheme, a lower bound is constructed by relaxing the so-called non-anticipativity constraints and an upper bound is constructed … Read more
We present a clustering-based preconditioning strategy for KKT systems arising in stochastic programming within an interior-point framework. The key idea is to perform adaptive clustering of scenarios (inside-the-solver) based on their influence on the problem as opposed to cluster scenarios based on problem data alone, as is done in existing (outside-thesolver) approaches. We derive spectral … Read more