Scenario approximation of robust and chance-constrained programs

DOI10.1007/s10957-012-0230-3zbMath1272.90102OpenAlexW2171572351MaRDI QIDQ368719

Christine Choirat, Raffaello Seri

Publication date: 23 September 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0230-3

zbMATH Keywords

samplingmathematical programmingepigraphical convergencescenario approximation

Mathematics Subject Classification ID

Noncooperative games (91A10) Stochastic programming (90C15) 2-person games (91A05) Semi-infinite programming (90C34)

Related Items (3)

A stochastic primal-dual method for a class of nonconvex constrained optimization ⋮ Generic Consistency for Approximate Stochastic Programming and Statistical Problems ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem

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