Optimization problems with probust constraints: Theory, applications and algorithmic solution.

R. Henrion

Under a probust constraint, we understand a probabilistic constraint taken over an infinite system of random inequalities (which often is associated with robust optimization). Such constraints have been recently introduced and find numerous applications in engineering, power management and PDE constrained optimization under random state constraints. Similar as probabilistic or infinitely many deterministic constraints lead to new structures when compared to finitely many deterministic constraints, the same holds true when joining the probabilistic aspect with the infinite one in a single model. The talk provides an overview of analytical properties of such constraints, of their application in capacity maximization of gas networks or in water reservoir management along with an algorithmic solution approach.

Keywords: probabilistic constraints; infinite inequality systems

GT11-2 MA-2 Continuous Optimization. Tribute to Marco Antonio López
September 5, 2019  4:05 PM
I2L7. Georgina Blanes building

M. J. Gisbert Francés, M. J. Cánovas Cánovas, R. Henrion, J. Parra López

F. J. Aragón Artacho, P. T. Vuong

M. Ruiz Galán

E. Casas Rentería