WIAS Preprint No. 2338, (2016)

Chance constraints in PDE constrained optimization


  • Farshbaf Shaker, Mohammad Hassan
    ORCID: 0000-0003-0543-5938
  • Henrion, René
    ORCID: 0000-0001-5572-7213
  • Hömberg, Dietmar
    ORCID: 0000-0001-9460-5729

2010 Mathematics Subject Classification

  • 90C15 49J20


  • chance constraints, PDE constrained optimization




Chance constraints represent a popular tool for finding decisions that enforce a robust satisfaction of random inequality systems in terms of probability. They are widely used in optimization problems subject to uncertain parameters as they arise in many engineering applications. Most structural results of chance constraints (e.g., closedness, convexity, Lipschitz continuity, differentiability etc.) have been formulated in a finite-dimensional setting. The aim of this paper is to generalize some of these well-known semi-continuity and convexity properties to a setting of control problems subject to (uniform) state chance constraints.

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