Probability Maximization by Inner Approximation
Acta Polytechnica Hungarica · 2018
We solve probability maximization problems using an approximation scheme that is analogous to the classic approach of p-efficient points, proposed by Prékopa to handle chance constraints.But while p-efficient points yield an approximation of a level set of the probabilistic function, we approximate the epigraph.The present scheme is easy to implement and is immune to noise in gradient computation.