Convex optimal uncertainty quantification

DOI10.1137/13094712XzbMATH Open1317.90236DBLPjournals/siamjo/HanTTOM15arXiv1311.7130WikidataQ59813835 ScholiaQ59813835MaRDI QIDQ5501231FDOQ5501231

Authors: Shuo Han, Molei Tao, Ufuk Topcu, Houman Owhadi, Richard M. Murray 

Publication date: 3 August 2015

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

Abstract: Optimal uncertainty quantification (OUQ) is a framework for numerical extreme-case analysis of stochastic systems with imperfect knowledge of the underlying probability distribution. This paper presents sufficient conditions under which an OUQ problem can be reformulated as a finite-dimensional convex optimization problem, for which efficient numerical solutions can be obtained. The sufficient conditions include that the objective function is piecewise concave and the constraints are piecewise convex. In particular, we show that piecewise concave objective functions may appear in applications where the objective is defined by the optimal value of a parameterized linear program.

Full work available at URL: https://arxiv.org/abs/1311.7130

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zbMATH Keywords

convex optimizationuncertainty quantificationduality theory

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15)

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Cited In (7)

• Probability estimation via policy restrictions, convexification, and approximate sampling
• Tight tail probability bounds for distribution-free decision making
• Optimal uncertainty quantification
• Optimal uncertainty quantification for legacy data observations of Lipschitz functions
• MAD dispersion measure makes extremal queue analysis simple
• Title not available (Why is that?)
• Ambiguous joint chance constraints under mean and dispersion information

Uses Software

• CVX

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