Andrieu, Laetitia; Cohen, Guy; Vázquez-Abad, Felisa J. - In: European Journal of Operational Research 212 (2011) 2, pp. 345-351
We study optimization problems subject to possible fatal failures. The probability of failure should not exceed a given confidence level. The distribution of the failure event is assumed unknown, but it can be generated via simulation or observation of historical data. Gradient-based...