Probabilistic constrained optimization on flow networks

Gugat M, Schuster M, Lang J, Strauch E (2022)

Publication Language: English

Publication Type: Journal article, Online publication

Publication year: 2022

Journal

Optimization and Engineering Springer Verlag (Germany)

Book Volume: 23

Pages Range: 1--50

DOI: 10.1007/s11081-021-09619-x

Open Access Link: https://doi.org/10.1007/s11081-021-09619-x

Abstract

Uncertainty often plays an important role in dynamic flow problems. In this paper, we consider both, a stationary and a dynamic flow model with uncertain boundary data on networks. We introduce two different ways how to compute the probability for random boundary data to be feasible, discussing their advantages and disadvantages. In this context, feasible means, that the flow corresponding to the random boundary data meets some box constraints at the network junctions. The first method is the spheric radial decomposition and the second method is a kernel density estimation. In both settings, we consider certain optimization problems and we compute derivatives of the probabilistic constraint using the kernel density estimator. Moreover, we derive necessary optimality conditions for an approximated problem for the stationary and the dynamic case. Throughout the paper, we use numerical examples to illustrate our results by comparing them with a classical Monte Carlo approach to compute the desired probability.

Authors with CRIS profile

Martin Gugat Lehrstuhl für Dynamics, Control, Machine Learning and Numerics (Alexander von Humboldt-Professur) Michael Schuster Sonderforschungsbereich/Transregio 154: Mathematische Modellierung, Simulation und Optimierung am Beispiel von Gasnetzwerken

Involved external institutions

Technische Universität Darmstadt DE Germany (DE)

How to cite

APA:

Gugat, M., Schuster, M., Lang, J., & Strauch, E. (2022). Probabilistic constrained optimization on flow networks. Optimization and Engineering, 23, 1--50. https://doi.org/10.1007/s11081-021-09619-x

MLA:

Gugat, Martin, et al. "Probabilistic constrained optimization on flow networks." Optimization and Engineering 23 (2022): 1--50.

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