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Sample-Based Neural Approximation Approach for Probabilistic Constrained Programs
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DOI：10.1109/TNNLS.2021.3102323.png)
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Abstract
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This article introduces a neural approximation-based method for solving continuous optimization problems with probabilistic constraints. After reformulating the probabilistic constraints as the quantile function, a sample-based neural network model is used to approximate the quantile function. The statistical guarantees of the neural approximation are discussed by showing the convergence and feasibility analysis. Then, by introducing the neural approximation, a simulated annealing-based algorithm is revised to solve the probabilistic constrained programs. An interval predictor model (IPM) of wind power is investigated to validate the proposed method.
Keywords:
Probabilistic logic
Random variables
Convergence
Approximation algorithms
Wind power generation
Optimization
Neural networks
Neural network model
nonlinear optimization
probabilistic constraints
quantile function
sample average approximation
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