Chance-constrained problems and rare events: an importance sampling approach

  title={Chance-constrained problems and rare events: an importance sampling approach},
  author={Javiera Barrera and Tito Homem-de-Mello and Eduardo Moreno and Bernardo K. Pagnoncelli and Gianpiero Canessa},
  journal={Math. Program.},
We study chance-constrained problems in which the constraints involve the probability of a rare event. We discuss the relevance of such problems and show that the existing sampling-based algorithms cannot be applied directly in this case, since they require an impractical number of samples to yield reasonable solutions. Using a Sample Average Approximation (SAA) approach combined with importance sampling (IS) techniques, we show how variance can be reduced uniformly over a suitable… CONTINUE READING
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