Solving chance-constrained optimization problems using a kernel VaR estimator
Speaker:
Andreas Waechter, Northwestern University
Date and Time:
Wednesday, July 5, 2017 - 4:00pm to 4:30pm
Location:
Fields Institute, Room 230
Abstract:
We present a reformulation of nonlinear optimization problems with chance constraints that replaces a probabilistic constraint by a nonparametric value-at-risk estimator. The estimator smooths the historical VaR via a kernel, resulting in a better approximation of the quantile and reducing the number of spurios local minima. An optimization algorithm is proposed that permits the efficient treatment of joint chance constraints. Numerical experiments on large-scale examples are presented.