FAST—Fast Algorithm for the Scenario Technique

DOI10.1287/OPRE.2014.1257zbMath1302.90141OpenAlexW2112198937MaRDI QIDQ2935307

Simone Garatti, Algo Carè, Marco C. Campi

Publication date: 22 December 2014

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2014.1257

zbMATH Keywords

stochastic programmingrandomized algorithmsscenario approachchance-constrained optimizationsample-based methods

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (9)

General Feasibility Bounds for Sample Average Approximation via Vapnik--Chervonenkis Dimension ⋮ On Conditional Risk Assessments in Scenario Optimization ⋮ Performance assessment and design of abstracted models for stochastic hybrid systems through a randomized approach ⋮ Wait-and-judge scenario optimization ⋮ On a class of interval predictor models with universal reliability ⋮ Parametric scenario optimization under limited data: a distributionally robust optimization view ⋮ Non-convex scenario optimization ⋮ The wait-and-judge scenario approach applied to antenna array design ⋮ Risk and complexity in scenario optimization

Uses Software

• YALMIP

Cites Work

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