62 research outputs found
Joint dynamic probabilistic constraints with projected linear decision rules
We consider multistage stochastic linear optimization problems combining
joint dynamic probabilistic constraints with hard constraints. We develop a
method for projecting decision rules onto hard constraints of wait-and-see
type. We establish the relation between the original (infinite dimensional)
problem and approximating problems working with projections from different
subclasses of decision policies. Considering the subclass of linear decision
rules and a generalized linear model for the underlying stochastic process with
noises that are Gaussian or truncated Gaussian, we show that the value and
gradient of the objective and constraint functions of the approximating
problems can be computed analytically
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