large deviation theory

Optimization under rare chance constraints

  • Vishwas Rao
  • Anirudh Subramanyam
  • Shanyin Tong
    • Categories Stochastic Programming Tags , , ,

    Chance constraints provide a principled framework to mitigate the risk of high-impact extreme events by modifying the controllable properties of a system. The low probability and rare occurrence of such events, however, impose severe sampling and computational requirements on classical solution methods that render them impractical. This work proposes a novel sampling-free method for solving … Read more

    Contextual Chance-Constrained Programming

  • Hamed Rahimian
  • Bernardo K. Pagnoncelli
    • Categories Stochastic Programming Tags , , , ,

    Uncertainty in classical stochastic programming models is often described solely by independent random parameters, ignoring their dependence on multidimensional features. We describe a novel contextual chance-constrained programming formulation that incorporates features, and argue that solutions that do not take them into account may not be implementable. Our formulation cannot be solved exactly in most cases, … Read more