WIAS Preprint No. 3245, (2025)

Continuous stochastic gradient and spherical radial decomposition


Authors

  • Bernhard, Daniela
  • Heitsch, Holger
    ORCID: 0000-0002-2692-4602
  • Henrion, René
    ORCID: 0000-0001-5572-7213
  • Liers, Frauke
  • Stingl, Michael
  • Uihlein, Andrian
  • Zipf, Viktor

2020 Mathematics Subject Classification

  • 90B15 90C15 90C26

Keywords

  • Chance constraints, continuous stochastic gradient, spheric-radial decomposition

DOI

10.20347/WIAS.PREPRINT.3245

Abstract

In this paper, a new method is presented for solving chance-constrained optimization problems. The method combines the well-established Spherical-Radial Decomposition approach with the Continuous Stochastic Gradient method. While the Continuous Stochastic Gradient method has been successfully applied to chance-constrained problems in the past, only the combination with the Spherical-Radial Decomposition allows to avoid smoothing of the integrand. In this chapter, we prove this fact for a relevant class of chance-constrained problems and apply the resulting method to the capacity maximization problem for gas networks.

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