Worst-case violation of sampled convex programs for optimization with uncertainty
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Cites work
- A relaxation algorithm with a probabilistic guarantee for robust deviation optimization
- Applications of second-order cone programming
- scientific article; zbMATH DE number 1332320 (Why is no real title available?)
- On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
- On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities
- Probabilistic robustness analysis: Explicit bounds for the minimum number of samples
- Robust convex optimization
- Robust convex quadratically constrained programs
- Robust Portfolio Selection Problems
- Robust solutions of uncertain linear programs
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Robust Solutions to Uncertain Semidefinite Programs
- The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
- The Scenario Approach to Robust Control Design
- The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality
- Uncertain convex programs: randomized solutions and confidence levels
Cited in
(12)- On the expected probability of constraint violation in sampled convex programs
- Expected shortfall: heuristics and certificates
- Uncertain convex programs: randomized solutions and confidence levels
- First order optimality conditions and steepest descent algorithm on orthogonal Stiefel manifolds
- On the computational complexity and generalization properties of multi-stage and stage-wise coupled scenario programs
- Consistency of the scenario approach
- Probabilistic guarantees in robust optimization
- Sampled convex programs and probabilistically robust design
- Shared subspace models for multi-group covariance estimation
- Data-driven verification and synthesis of stochastic systems via barrier certificates
- A relaxation algorithm with a probabilistic guarantee for robust deviation optimization
- The CoMirror algorithm with random constraint sampling for convex semi-infinite programming
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