Consistency of the Scenario Approach

DOI10.1137/16M109819XzbMath1386.90095OpenAlexW2783536633MaRDI QIDQ4600842

Federico Alessandro Ramponi

Publication date: 17 January 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m109819x

zbMATH Keywords

stochastic programmingmin-max optimizationconvex programmingscenario approachsample-based optimization

Mathematics Subject Classification ID

Convex programming (90C25) Minimax problems in mathematical programming (90C47) Stochastic programming (90C15)

Related Items (5)

Scenario Approach for Minmax Optimization with Emphasis on the Nonconvex Case: Positive Results and Caveats ⋮ On Conditional Risk Assessments in Scenario Optimization ⋮ On the Convexity of Level-sets of Probability Functions ⋮ Ergodic approach to robust optimization and infinite programming problems ⋮ A theory of the risk for empirical CVaR with application to portfolio selection

Cites Work

• A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
• Wait-and-judge scenario optimization
• Convexity and well-posed problems
• Worst-case violation of sampled convex programs for optimization with uncertainty
• Robust Convex Optimization
• The Sample Average Approximation Method for Stochastic Discrete Optimization
• Performance Bounds for the Scenario Approach and an Extension to a Class of Non-Convex Programs
• The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
• Scenario Min-Max Optimization and the Risk of Empirical Costs
• Lectures on Stochastic Programming
• Contributions to the theory of stochastic programming
• The Scenario Approach to Robust Control Design
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