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Chance constraints in PDE constrained optimization

Please always quote using this URN:urn:nbn:de:0296-matheon-13999
  • Chance constraints represent a popular tool for finding decisions that enforce a robust satisfaction of random inequality systems in terms of probability. They are widely used in optimization problems subject to uncertain parameters as they arise in many engineering applications. Most structural results of chance constraints (e.g., closedness, convexity, Lipschitz continuity, differentiability etc.) have been formulated in a finite-dimensional setting. The aim of this paper is to generalize some of these well-known semi-continuity and convexity properties to a setting of control problems subject to (uniform) state chance constraints.

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Metadaten
Author:M. Hassan Farshbaf-Shaker, René Henrion, Dietmar Hömberg
URN:urn:nbn:de:0296-matheon-13999
Referee:Volker Mehrmann
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2016/11/30
Release Date:2016/11/30
Tag:chance constraints, PDE constrained optimization
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Project:C Energy and Materials (Production) / C-SE13 Topology optimization of wind turbines under uncertainties
MSC-Classification:49-XX CALCULUS OF VARIATIONS AND OPTIMAL CONTROL; OPTIMIZATION [See also 34H05, 34K35, 65Kxx, 90Cxx, 93-XX] / 49Jxx Existence theories / 49J20 Optimal control problems involving partial differential equations
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Preprint Number:1117
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