A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs - Kannan, Rohit; Luedtke, James R. (Mathematical programming computation, 2021)
Keywords: Algorithms; Approximation; Constraints; Convergence; Full Length Paper; Mathematics; Mathematics and Statistics; Mathematics of Computing; Operations Research/Decision Theory; Optimization; Smoothing; Theory of Computation; Efficient frontier; Stochastic approximation; Chance constraints; 90C29; 90C15; Stochastic subgradient