Repetitive Scenario Design

DOI10.1109/TAC.2016.2575859MaRDI QIDQ5282364zbMATH OpenFDO

Authors Giuseppe Calafiore

Publication date 27 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.03796

Mathematics Subject Classification ID

Randomized algorithms (68W20) Stochastic programming (90C15) Design techniques (robust design, computer-aided design, etc.) (93B51)

Abstract: Repetitive Scenario Design (RSD) is a randomized approach to robust design based on iterating two phases: a standard scenario design phase that uses $N$ scenarios (design samples), followed by randomized feasibility phase that uses $N_o$ test samples on the scenario solution. We give a full and exact probabilistic characterization of the number of iterations required by the RSD approach for returning a solution, as a function of $N$, $N_o$, and of the desired levels of probabilistic robustness in the solution. This novel approach broadens the applicability of the scenario technology, since the user is now presented with a clear tradeoff between the number $N$ of design samples and the ensuing expected number of repetitions required by the RSD algorithm. The plain (one-shot) scenario design becomes just one of the possibilities, sitting at one extreme of the tradeoff curve, in which one insists in finding a solution in a single repetition: this comes at the cost of possibly high $N$. Other possibilities along the tradeoff curve use lower $N$ values, but possibly require more than one repetition.

Cited in

(3)

• Parametric scenario optimization under limited data: a distributionally robust optimization view
• Exploiting structure of chance constrained programs via submodularity
• Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints

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