Ergodic approach to robust optimization and infinite programming problems

DOI10.1007/S11228-020-00567-9MaRDI QIDQ2045190zbMATH OpenOpenAlexWikidataFDO

Authors Pedro Pérez-Aros

Publication date 12 August 2021

Published in Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.10325

zbMATH Keywords

epi-convergenceergodic theoremsinfinite programmingrobust optimizationscenario approachstochastic optimization

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Stochastic programming (90C15) Robustness in mathematical programming (90C17) Nonconvex programming, global optimization (90C26) Applications of mathematical programming (90C90)

Abstract: In this work, we show the consistency of an approach for solving robust optimization problems using sequences of sub-problems generated by ergodic measure preserving transformations. The main result of this paper is that the minimizers and the optimal value of the sub-problems converge, in some sense, to the minimizers and the optimal value of the initial problem, respectively. Our result particularly implies the consistency of the scenario approach for nonconvex optimization problems. Finally, we show that our method can also be used to solve infinite programming problems.

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Cited in

(4)

• Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets
• A regularized smoothing method for fully parameterized convex problems with applications to convex and nonconvex two-stage stochastic programming
• Log-exponential approximation in semi-infinite programming: a variational approach
• Approximating inequality systems within probability functions: studying implications for problems and consistency of first-order information

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