• Corpus ID: 235658012

Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency

  title={Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency},
  author={Prateek Jaiswal and Harsha Honnappa and Vinayak A. Rao},
This paper considers data-driven chance-constrained stochastic optimization problems in a Bayesian framework. Bayesian posteriors afford a principled mechanism to incorporate data and prior knowledge into stochastic optimization problems. However, the computation of Bayesian posteriors is typically an intractable problem, and has spawned a large literature on approximate Bayesian computation. Here, in the context of chanceconstrained optimization, we focus on the question of statistical… 

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  • Yixin WangD. Blei
  • Mathematics, Computer Science
    Journal of the American Statistical Association
  • 2018
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