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论文类型：期刊论文
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).