FAST—Fast Algorithm for the Scenario Technique

DOI10.1287/OPRE.2014.1257zbMATH Open1302.90141OpenAlexW2112198937MaRDI QIDQ2935307FDOQ2935307

Authors: A. Carè, Simone Garatti, M. 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

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zbMATH Keywords

randomized algorithmsstochastic programmingscenario approachchance-constrained optimizationsample-based methods

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• From CVaR to uncertainty set: implications in joint chance-constrained optimization
• The Price of Robustness
• Robust solutions of uncertain linear programs
• Uncertain convex programs: randomized solutions and confidence levels
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Constructing uncertainty sets for robust linear optimization
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• The Scenario Approach to Robust Control Design
• Convex Approximations of Chance Constrained Programs
• Robust convex optimization
• Robust Solutions to Uncertain Semidefinite Programs
• Research on probabilistic methods for control system design
• Probabilistic robust design with linear quadratic regulators
• Sample average approximation method for chance constrained programming: Theory and applications
• Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
• The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
• A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
• Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
• The allocation of aircraft to routes -- an example of linear programming under uncertain demand
• Title not available (Why is that?)
• Improved sample complexity estimates for statistical learning control of uncertain systems
• Randomized Strategies for Probabilistic Solutions of Uncertain Feasibility and Optimization Problems
• Polynomial-time algorithms for probabilistic solutions of parameter-dependent linear matrix inequalities
• Optimization models with probabilistic constraints
• Probabilistic design of LPV control systems.
• Interval predictor models: identification and reliability

Cited In (10)

• On Conditional Risk Assessments in Scenario Optimization
• Risk and complexity in scenario optimization
• Parametric scenario optimization under limited data: a distributionally robust optimization view
• General feasibility bounds for sample average approximation via Vapnik-Chervonenkis dimension
• Performance assessment and design of abstracted models for stochastic hybrid systems through a randomized approach
• On a class of interval predictor models with universal reliability
• The wait-and-judge scenario approach applied to antenna array design
• Non-convex scenario optimization
• Wait-and-judge scenario optimization
• Efficient Scenario Generation for Heavy-Tailed Chance Constrained Optimization

Uses Software

• YALMIP

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