Chance-constrained problems and rare events: an importance sampling approach

Keyphrases

• Sampling Approach 100%
• Chance-constrained Problems 100%
• Importance Sampling 100%
• Sample Average Approximation 40%
• Numerical Results 20%
• Variance Reduction 20%
• Telecommunications 20%
• Practical Performance 20%
• Asymptotic Convergence 20%
• Approximation Approach 20%
• Bernoulli 20%
• Sampling Algorithm 20%
• Input Distribution 20%
• Sampling Distribution 20%
• Decision Variables 20%
• Feasibility Set 20%

Mathematics

• Rare Event 100%
• Importance Sampling 100%
• Variance 40%
• Sample Average 40%
• Sampling Technique 40%
• Probability Theory 20%
• Sufficient Condition 20%
• Asymptotics 20%
• Variance Reduction 20%
• Uniform Variance 20%
• Sampling Distribution 20%
• Decision Variable 20%

INIS

• sampling 100%
• approximations 50%
• distribution 33%
• probability 16%
• algorithms 16%
• performance 16%
• convergence 16%
• yields 16%
• solutions 16%
• reduction 16%
• constraints 16%
• asymptotic solutions 16%