Convex optimal uncertainty quantification

DOI10.1137/13094712XMaRDI QIDQ5501231zbMATH OpenDBLPWikidataFDO

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)

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

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)

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.

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Cited in

(7)

• Ambiguous joint chance constraints under mean and dispersion information
• Probability estimation via policy restrictions, convexification, and approximate sampling
• Tight tail probability bounds for distribution-free decision making
• Optimal uncertainty quantification
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