Efficient Scenario Generation for Heavy-Tailed Chance Constrained Optimization

DOI10.1287/STSY.2021.0021MaRDI QIDQ6125970zbMATH OpenOpenAlexFDO

Authors

Publication date 9 April 2024

Published in Stochastic Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2002.02149

zbMATH Keywords

asymptotic optimalityMonte Carlo methodsregular variationstochastic optimization

Mathematics Subject Classification ID

Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Monte Carlo methods (65C05) Stochastic programming (90C15)

Abstract: We consider a generic class of chance-constrained optimization problems with heavy-tailed (i.e., power-law type) risk factors. In this setting, we use the scenario approach to obtain a constant approximation to the optimal solution with a computational complexity that is uniform in the risk tolerance parameter. We additionally illustrate the efficiency of our algorithm in the context of solvency in insurance networks.

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Cited in

(1)

• Bidding in ancillary service markets: an analytical approach using extreme value theory

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