Optimization Method For Quadratic Programming With Probabilistic Constraints

Optimization problem with probabilistic constraints is one of the most difficult modern stochastic programming.In this paper,we introduce the concept of p-efficient points and some of properties to analyse the struc-ture of the feasible set of programming problem.Using Lagrangian dual method,we provide a pefficient point enumeration method,which can avoid enumerating all p-efficcient points.Finally,we introduce the Aug-mented Lagrangian relaxation,and develop a Block Coordinate Descent method to solve the problem.