An active-set algorithm for chance-constrained nonlinear optimization
Speaker:
Andreas Waechter, Northwestern University
Date and Time:
Saturday, June 4, 2016 - 11:30am to 12:00pm
Location:
Fields Institute, Room 230
Abstract:
A new algorithmic framework for the solution of nonlinear chance-constrained optimization problems is proposed. Similar to Fletcher's S$l_1$QP algorithm, the method computes trial points from the minimization of a piece-wise quadratic model subject to a trust region. Theoretical convergence results and numerical experiments will be presented.