本文通过连续可微的非凸函数所形成的概率约束,来分析概率约束问题。描述了潜在的概率函数的水平集的切锥和法锥。进一步,基于p-有效点的概念,形成这些问题的一阶和二阶最优性条件。对于离散分布函数的这种情况,产生一个基于修正的指数函数的对偶算法来解决概率约束问题。In this paper, the problem of probability constraints is analyzed by means of the probability constraints formed by continuously differentiable non-convex functions. The tangent and normal cones of the level set of potential probability functions are described. Further, based on the concept of p-efficient points, the first and second order optimality conditions of these problems are formed. For this case of the discrete distribution function, a dual algorithm based on the modified exponential function is generated to solve the probability constraint problem.
本文用连续可微非凸函数描述的概率约束分析非线性随机优化问题。为此描述了潜在概率函数的水平集的切锥和法锥,并在此基础上,提出p-有效点的定义,形成问题的一阶和二阶最优性条件,基于p-有效点生成的概率函数的水平集,通过修正的Carroll函数生成一个对偶算法。In this paper, probabilistic constraints described by continuously differentiable non-convex functions are used to analyze nonlinear stochastic optimization problems. To this end, the tangent and normal cones of the level set of potential probability functions are described, and on this basis, the definition of p-effective points is proposed to form the first and second order optimality conditions of the problem. Based on the water-level set of probability functions generated by p-effective points, a dual algorithm is generated by the modified Carroll function.
