Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions
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DOI: 10.1007/s10957-007-9178-0
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References listed on IDEAS
- J. O. Royset & E. Polak, 2004. "Implementable Algorithm for Stochastic Optimization Using Sample Average Approximations," Journal of Optimization Theory and Applications, Springer, vol. 122(1), pages 157-184, July.
- Kurt Marti, 2005. "Stochastic Optimization Methods," Springer Books, Springer, number 978-3-540-26848-2, July.
- Sakalauskas, Leonidas L., 2002. "Nonlinear stochastic programming by Monte-Carlo estimators," European Journal of Operational Research, Elsevier, vol. 137(3), pages 558-573, March.
- A. Shapiro & Y. Wardi, 1996. "Convergence Analysis of Stochastic Algorithms," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 615-628, August.
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Cited by:
- Byun, Ji-Eun & de Oliveira, Welington & Royset, Johannes O., 2023. "S-BORM: Reliability-based optimization of general systems using buffered optimization and reliability method," Reliability Engineering and System Safety, Elsevier, vol. 236(C).
- Rockafellar, R.T. & Royset, J.O., 2010. "On buffered failure probability in design and optimization of structures," Reliability Engineering and System Safety, Elsevier, vol. 95(5), pages 499-510.
- I. Bremer & R. Henrion & A. Möller, 2015. "Probabilistic constraints via SQP solver: application to a renewable energy management problem," Computational Management Science, Springer, vol. 12(3), pages 435-459, July.
- Lukáš Adam & Martin Branda & Holger Heitsch & René Henrion, 2020. "Solving joint chance constrained problems using regularization and Benders’ decomposition," Annals of Operations Research, Springer, vol. 292(2), pages 683-709, September.
- Wim Ackooij & Pedro Pérez-Aros, 2020. "Gradient Formulae for Nonlinear Probabilistic Constraints with Non-convex Quadratic Forms," Journal of Optimization Theory and Applications, Springer, vol. 185(1), pages 239-269, April.
- Johannes Royset, 2013. "On sample size control in sample average approximations for solving smooth stochastic programs," Computational Optimization and Applications, Springer, vol. 55(2), pages 265-309, June.
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Keywords
Stochastic optimization; Sample average approximations; Monte Carlo simulation; Reliability-based optimal design;All these keywords.
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