The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs

DOI10.1137/07069821XzbMath1180.90235OpenAlexW1976466849MaRDI QIDQ3395012

Simone Garatti, Marco C. Campi

Publication date: 20 August 2009

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/07069821x

zbMATH Keywords

convex optimizationsemi-infinite programmingrobust optimizationrandomized methodsuncertain optimizationchance-constrained

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Semi-infinite programming (90C34) Randomized algorithms (68W20)

Related Items

Robust Control for Dynamical Systems with Non-Gaussian Noise via Formal Abstractions, Scenario-Based Verification of Uncertain MDPs, The CoMirror algorithm with random constraint sampling for convex semi-infinite programming, Chance-constrained problems and rare events: an importance sampling approach, Scenario Min-Max Optimization and the Risk of Empirical Costs, Reliable approximations of probability-constrained stochastic linear-quadratic control, Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty, On the computational complexity and generalization properties of multi-stage and stage-wise coupled scenario programs, ROC++: Robust Optimization in C++, Scenario-based model predictive control for multi-echelon supply chain management, ROPI—a robust optimization programming interface for C++, Frameworks and results in distributionally robust optimization, From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming, FAST—Fast Algorithm for the Scenario Technique, General Feasibility Bounds for Sample Average Approximation via Vapnik--Chervonenkis Dimension, Stochastic MPC with offline uncertainty sampling, On the probabilistic feasibility of solutions in multi-agent optimization problems under uncertainty, Fixed-order \(H_\infty\) controller design for nonparametric models by convex optimization, On safe tractable approximations of chance constraints, A provisioning problem with stochastic payments, Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs, Virtual reference feedback tuning for linear discrete-time systems with robust stability guarantees based on set membership, Robust DC optimal power flow with modeling of solar power supply uncertainty via R-vine copulas, An algorithm for binary linear chance-constrained problems using IIS, Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection, Scenario Approach for Minmax Optimization with Emphasis on the Nonconvex Case: Positive Results and Caveats, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints, Approximate methods for solving chance-constrained linear programs in probability measure space, On the sample size of random convex programs with structured dependence on the uncertainty, On Conditional Risk Assessments in Scenario Optimization, Consistency of the Scenario Approach, Worst-case violation of sampled convex programs for optimization with uncertainty, On Feasibility of Sample Average Approximation Solutions, Data-driven robust optimization, Random sampling with removal, A constraint sampling approach for multi-stage robust optimization, Identifying effective scenarios in distributionally robust stochastic programs with total variation distance, Robust control of uncertain systems: classical results and recent developments, A statistical learning theory approach for uncertain linear and bilinear matrix inequalities, Networked Parallel Algorithms for Robust Convex Optimization via the Scenario Approach, Performance assessment and design of abstracted models for stochastic hybrid systems through a randomized approach, Sampling-Based Verification of CTMCs with Uncertain Rates, Simulation-Based Optimality Tests for Stochastic Programs, Randomized sampling for large zero-sum games, Portfolio optimization with \(pw\)-robustness, A survey of adjustable robust optimization, Trading performance for state constraint feasibility in stochastic constrained control: a randomized approach, On robust input design for nonlinear dynamical models, Unnamed Item, Wait-and-judge scenario optimization, Stochastic model predictive control of LPV systems via scenario optimization, Automated driving: the role of forecasts and uncertainty -- a control perspective, Expected shortfall: heuristics and certificates, Iterative robust control: speeding up improvement through iterations, A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality, Robust stability of Markov jump linear systems through randomized evaluations, Learning noisy functions via interval models, Research on probabilistic methods for control system design, On the quantification of aleatory and epistemic uncertainty using sliced-normal distributions, Exploiting structure of chance constrained programs via submodularity, Chance-constrained \(H_\infty\) control for a class of time-varying systems with stochastic nonlinearities: the finite-horizon case, Data driven stability analysis of black-box switched linear systems, Optimal disturbance compensation for constrained linear systems operating in stationary conditions: a scenario-based approach, On a class of interval predictor models with universal reliability, Beyond Chance-Constrained Convex Mixed-Integer Optimization: A Generalized Calafiore-Campi Algorithm and the notion of $S$-optimization, A stochastic primal-dual method for optimization with conditional value at risk constraints, Varying confidence levels for CVaR risk measures and minimax limits, Discussion on: ``Why is resorting to fate wise? A critical look at randomized algorithms in systems and control, A Practicable Robust Counterpart Formulation for Decomposable Functions: A Network Congestion Case Study, Approximate cutting plane approaches for exact solutions to robust optimization problems, Data-driven estimation in equilibrium using inverse optimization, Random variables with moment-matching staircase density functions, A randomized relaxation method to ensure feasibility in stochastic control of linear systems subject to state and input constraints, A theory of the risk for empirical CVaR with application to portfolio selection, Chance-constrained sets approximation: a probabilistic scaling approach, The wait-and-judge scenario approach applied to antenna array design, On the expected probability of constraint violation in sampled convex programs, An inexact primal-dual algorithm for semi-infinite programming, Near-optimal solutions of convex semi-infinite programs via targeted sampling, On sample average approximation for two-stage stochastic programs without relatively complete recourse, Probabilistic Guarantees in Robust Optimization, The scenario approach for stochastic model predictive control with bounds on closed-loop constraint violations, Randomized methods for design of uncertain systems: sample complexity and sequential algorithms, Risk and complexity in scenario optimization