Berthold, Holger; Heitsch, Holger; Henrion, René; … - In: Mathematical Methods of Operations Research 96 (2021) 1, pp. 1-37
We present an adaptive grid refinement algorithm to solve probabilistic optimization problems with infinitely many random constraints. Using a bilevel approach, we iteratively aggregate inequalities that provide most information not in a geometric but in a probabilistic sense. This conceptual...