Essential intersection and approximation results for robust optimization
Ergodic theorems, spectral theory, Markov operators (37A30) Random convex sets and integral geometry (aspects of convex geometry) (52A22) Convex functions and convex programs in convex geometry (52A41) Strong limit theorems (60F15) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)
The authors develop a finite approximation of a robust stochastic program, understood as an optimization problem with a set of random constraints that have to be satisfied almost surely. The finite approximation is built via selecting finitely many constraints using an ergodic measure-preserving transformation on the underlying probability space. As a consequence of Poincaré's recurrence theorem, the procedure selects a scenario in each predefined positive probability set in finitely many steps. Results of ergodic theory allow to prove a convergence of the sequence of optimal solutions to the true solution under several mild assumptions provided that the constraints are convex or at least inf-compact on some positive probability set. The contribution is mainly theoretical and connects elements of ergodic theory and optimization in an elegant way. No numerical applications are mentioned.
- On approximate solutions and saddle point theorems for robust convex optimization
- Optimality of robust approximation solutions for uncertain convex optimization problems
- On approximate solutions for robust convex semidefinite optimization problems
- On solution sets for robust optimization problems
- An approximation technique for robust nonlinear optimization
- scientific article; zbMATH DE number 6843801
- Robust convex optimization: a new perspective that unifies and extends
- Robust convex optimization
- Robust Solutions to a General Class of Approximation Problems
- An efficient algorithm for a certain class of robust optimization problems
- Conditional interior and conditional closure of random sets
- Ergodic approach to robust optimization and infinite programming problems
- Conditional cores and conditional convex hulls of random sets
- Generic consistency for approximate stochastic programming and statistical problems
- Robust Solutions to a General Class of Approximation Problems
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