Consistency of the scenario approach

DOI10.1137/16M109819XMaRDI QIDQ4600842zbMATH OpenOpenAlexFDO

Authors Federico Ramponi

Publication date 17 January 2018

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

Full work available at URL https://doi.org/10.1137/16m109819x

zbMATH Keywords

convex programmingmin-max optimizationsample-based optimizationscenario approachstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Convex programming (90C25) Minimax problems in mathematical programming (90C47)

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Cites work

• A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
• Contributions to the theory of stochastic programming
• Convex optimization theory.
• Convexity and well-posed problems
• scientific article; zbMATH DE number 3539473 (Why is no real title available?)
• scientific article; zbMATH DE number 1232374 (Why is no real title available?)
• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• Lectures on Stochastic Programming
• Performance Bounds for the Scenario Approach and an Extension to a Class of Non-Convex Programs
• Robust convex optimization
• Scenario MIN-MAX optimization and the risk of empirical costs
• The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
• The sample average approximation method for stochastic discrete optimization
• The Scenario Approach to Robust Control Design
• Wait-and-judge scenario optimization
• Worst-case violation of sampled convex programs for optimization with uncertainty

Cited in

(9)

• Ergodic approach to robust optimization and infinite programming problems
• A theory of the risk for empirical CVaR with application to portfolio selection
• The convergence of set-valued scenario approach for downside risk minimization
• scientific article; zbMATH DE number 1795716 (Why is no real title available?)
• Introduction to the Scenario Approach
• On the convexity of level-sets of probability functions
• Scenario approach for minmax optimization with emphasis on the nonconvex case: positive results and caveats
• On Conditional Risk Assessments in Scenario Optimization
• Introducing statistical consistency for infinite chance constraints

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