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Joint probability function refers to the probability function that requires multiple conditions to satisfy simultaneously. It appears naturally in chance-constrained programs. In this paper, we derive closed-form expressions of the… Click to show full abstract
Joint probability function refers to the probability function that requires multiple conditions to satisfy simultaneously. It appears naturally in chance-constrained programs. In this paper, we derive closed-form expressions of the gradient and Hessian of joint probability functions and develop Monte Carlo estimators of them. We then design a Monte Carlo algorithm, based on these estimators, to solve chance-constrained programs. Our numerical study shows that the algorithm works well, especially only with the gradient estimators.
Journal Title: Journal of the Operations Research Society of China
Year Published: 2017
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