IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v185y2020i1d10.1007_s10957-020-01634-9.html
   My bibliography  Save this article

Gradient Formulae for Nonlinear Probabilistic Constraints with Non-convex Quadratic Forms

Author

Listed:
  • Wim Ackooij

    (Électricité de France - EDF R&D)

  • Pedro Pérez-Aros

    (Universidad de O’Higgins)

Abstract

Probability functions appearing in chance constraints are an ingredient of many practical applications. Understanding differentiability, and providing explicit formulae for gradients, allow us to build nonlinear programming methods for solving these optimization problems from practice. Unfortunately, differentiability of probability functions cannot be taken for granted. In this paper, motivated by gas network applications, we investigate differentiability of probability functions acting on non-convex quadratic forms. We establish continuous differentiability for the broad class of elliptical random vectors under mild conditions.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:joptap:v:185:y:2020:i:1:d:10.1007_s10957-020-01634-9
    DOI: 10.1007/s10957-020-01634-9
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-020-01634-9
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-020-01634-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. T. González Grandón & H. Heitsch & R. Henrion, 2017. "A joint model of probabilistic/robust constraints for gas transport management in stationary networks," Computational Management Science, Springer, vol. 14(3), pages 443-460, July.
    3. René Henrion & Werner Römisch, 2010. "Lipschitz and differentiability properties of quasi-concave and singular normal distribution functions," Annals of Operations Research, Springer, vol. 177(1), pages 115-125, June.
    4. Claudia Gotzes & Holger Heitsch & René Henrion & Rüdiger Schultz, 2016. "On the quantification of nomination feasibility in stationary gas networks with random load," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 427-457, October.
    5. Garnier, Josselin & Omrane, Abdennebi & Rouchdy, Youssef, 2009. "Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations," European Journal of Operational Research, Elsevier, vol. 198(3), pages 848-858, November.
    6. J. O. Royset & E. Polak, 2007. "Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions," Journal of Optimization Theory and Applications, Springer, vol. 133(1), pages 1-18, April.
    7. W. Ackooij & I. Danti Lopez & A. Frangioni & F. Lacalandra & M. Tahanan, 2018. "Large-scale unit commitment under uncertainty: an updated literature survey," Annals of Operations Research, Springer, vol. 271(1), pages 11-85, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Holger Berthold & Holger Heitsch & René Henrion & Jan Schwientek, 2022. "On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(1), pages 1-37, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. 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.
    3. René Henrion & Andris Möller, 2012. "A Gradient Formula for Linear Chance Constraints Under Gaussian Distribution," Mathematics of Operations Research, INFORMS, vol. 37(3), pages 475-488, August.
    4. W. Ackooij & S. Demassey & P. Javal & H. Morais & W. Oliveira & B. Swaminathan, 2021. "A bundle method for nonsmooth DC programming with application to chance-constrained problems," Computational Optimization and Applications, Springer, vol. 78(2), pages 451-490, March.
    5. 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.
    6. Guelpa, Elisa & Bischi, Aldo & Verda, Vittorio & Chertkov, Michael & Lund, Henrik, 2019. "Towards future infrastructures for sustainable multi-energy systems: A review," Energy, Elsevier, vol. 184(C), pages 2-21.
    7. Farrokhifar, Meisam & Nie, Yinghui & Pozo, David, 2020. "Energy systems planning: A survey on models for integrated power and natural gas networks coordination," Applied Energy, Elsevier, vol. 262(C).
    8. Johannes Thürauf, 2022. "Deciding the feasibility of a booking in the European gas market is coNP-hard," Annals of Operations Research, Springer, vol. 318(1), pages 591-618, November.
    9. Zhao, Wei & Liao, Qi & Qiu, Rui & Liu, Chunying & Xu, Ning & Yu, Xiao & Liang, Yongtu, 2024. "Pipe sharing: A bilevel optimization model for the optimal capacity allocation of natural gas network," Applied Energy, Elsevier, vol. 359(C).
    10. Cristian Camilo Marín-Cano & Juan Esteban Sierra-Aguilar & Jesús M. López-Lezama & Álvaro Jaramillo-Duque & Juan G. Villegas, 2020. "A Novel Strategy to Reduce Computational Burden of the Stochastic Security Constrained Unit Commitment Problem," Energies, MDPI, vol. 13(15), pages 1-19, July.
    11. 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.
    12. Martina Kuchlbauer & Frauke Liers & Michael Stingl, 2022. "Outer Approximation for Mixed-Integer Nonlinear Robust Optimization," Journal of Optimization Theory and Applications, Springer, vol. 195(3), pages 1056-1086, December.
    13. Tsay, Calvin, 2024. "A Quantile Neural Network Framework for Twostage Stochastic Optimization," DES - Working Papers. Statistics and Econometrics. WS 43773, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. Lars Schewe & Martin Schmidt & Johannes Thürauf, 2020. "Structural properties of feasible bookings in the European entry–exit gas market system," 4OR, Springer, vol. 18(2), pages 197-218, June.
    15. Martina Kuchlbauer & Frauke Liers & Michael Stingl, 2022. "Adaptive Bundle Methods for Nonlinear Robust Optimization," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2106-2124, July.
    16. David Rebollal & Mónica Chinchilla & David Santos-Martín & Josep M. Guerrero, 2021. "Endogenous Approach of a Frequency-Constrained Unit Commitment in Islanded Microgrid Systems," Energies, MDPI, vol. 14(19), pages 1-22, October.
    17. Abdi, Hamdi, 2021. "Profit-based unit commitment problem: A review of models, methods, challenges, and future directions," Renewable and Sustainable Energy Reviews, Elsevier, vol. 138(C).
    18. Suradej Duangpummet & Jessada Karnjana & Waree Kongprawechnon, 2021. "State-of-charge estimation based on theory of evidence and interval analysis with differential evolution optimization," Annals of Operations Research, Springer, vol. 300(2), pages 399-414, May.
    19. Luo, Tao & Pan, Junting & Fu, Lintao & Mei, Zili & Kong, Cuixue & Huang, Hailong, 2017. "Reducing biogas emissions from village-scale plant with optimal floating-drum biogas storage tank and operation parameters," Applied Energy, Elsevier, vol. 208(C), pages 312-318.
    20. Holger Berthold & Holger Heitsch & René Henrion & Jan Schwientek, 2022. "On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(1), pages 1-37, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:185:y:2020:i:1:d:10.1007_s10957-020-01634-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.