The chance-constrained method is one of the major approaches to solving optimization problems under various uncertainties. It is a formulation of an optimization problem that ensures that the probability of meeting a certain constraint is above a certain level. In other words, it restricts the feasible region so that the confidence level of the solution is high. The chance-constrained method is a relatively robust approach, however, it is often difficult to solve.1 Chance constrained optimization is especially important in engineering and finance where uncertainties in price, demand, supply, currency exchange rate, recycle and feed rate, and demographic condition are common. Some classical applications of the chance-constrained method include water reservoir management and financial risk management. More recently, the method has been used in unmanned autonomous vehicle navigation as well as optimal renewable energy generation.

Last modified

• 11/30/2018

Creator

• Cristine Li

DOI

• https://doi.org/10.21985/N28R0K

Keyword

• Optimization
• Chance-constraint method

Rights statement

• In Copyright