Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions

@inproceedings{Royset2007ExtensionsOS,
  title={Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions},
  author={Johannes O. Royset and Elijah Polak},
  year={2007}
}
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… CONTINUE READING