Scenario approximation of robust and chance-constrained programs

DOI10.1007/S10957-012-0230-3zbMATH Open1272.90102OpenAlexW2171572351MaRDI QIDQ368719FDOQ368719

Authors: Raffaello Seri, Christine Choirat 

Publication date: 23 September 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0230-3

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zbMATH Keywords

samplingmathematical programmingepigraphical convergencescenario approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Noncooperative games (91A10) 2-person games (91A05) Semi-infinite programming (90C34)

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Cited In (11)

• Generic consistency for approximate stochastic programming and statistical problems
• Stochastic constraint programming: A scenario-based approach
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• Consistency of the scenario approach
• A stochastic primal-dual method for a class of nonconvex constrained optimization
• Ergodic approach to robust optimization and infinite programming problems
• Scenario approximations of chance constraints
• Approximate convex hull based scenario truncation for chance constrained trajectory optimization
• On scenario aggregation to approximate robust combinatorial optimization problems
• New safe approximation of ambiguous probabilistic constraints for financial optimization problem
• Scenario approach for minmax optimization with emphasis on the nonconvex case: positive results and caveats

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