肖现涛

个人信息Personal Information

教授

博士生导师

硕士生导师

性别:男

毕业院校:大连理工大学

学位:博士

所在单位:数学科学学院

办公地点:海山楼(大黑楼)B1107

电子邮箱:xtxiao@dlut.edu.cn

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A SEQUENTIAL CONVEX PROGRAM METHOD TO DC PROGRAM WITH JOINT CHANCE CONSTRAINTS

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论文类型:期刊论文

第一作者:Xiao, Xiantao

通讯作者:Xiao, XT (reprint author), Dalian Univ Technol, Sch Math Sci, Dalian 116023, Peoples R China.

合写作者:Gu, Jian,Zhang, Liwei,Zhang, Shaowu

发表时间:2012-08-01

发表刊物:JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

收录刊物:SCIE、Scopus

卷号:8

期号:3

页面范围:733-747

ISSN号:1547-5816

关键字:Sequential convex approximation approach; DC programming; joint chance constraints

摘要:In this paper, we consider a DC (difference of convex) programming problem with joint chance constraints (JCCDCP). We propose a DC function to approximate the constrained function and a corresponding DC program (P epsilon) to approximate the JCCDCP. Under some mild assumptions, we show that the solution of Problem (PE) converges to the solution of JCCDCP when epsilon down arrow 0. A sequential convex program method is constructed to solve the Problem (P epsilon). At each iteration a convex program is solved based on the Monte Carlo method, and the generated optimal sequence is proved to converge to the stationary point of Problem (P epsilon).