Extensions of Stochastic Optimization Results from Problems with Simple to Problems with Complex Failure Probability Functions

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Royset, J.O.
Polak, E.
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2007
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2007
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We derive an implementable algorithm for solving nonlinear stochastic optimization problems with failure probability constraints using sample average approximations. The paper extends prior results dealing with a failure probability expressed by a single measure to the case of failure probability expressed in terms of multiple performance measures. We also present a new formula for the failure probability gradient. A numerical example addressing the optimal design of a reinforced concrete highway bridge illustrates the algorithm.
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https://hdl.handle.net/10945/38227
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Operations Research (OR)
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This work was sponsored by the Research Associateship Program, National Research Council.
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J.O. Royset and E. Polak, 2007, ﾓExtensions of Stochastic Optimization Results from Problems with Simple to Problems with Complex Failure Probability Functions,ﾔ Journal of Optimization Theory and Applications, Vol. 133, No. 1, pp.
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This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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