On Conditional Risk Assessments in Scenario Optimization

DOI10.1137/21M1451385zbMATH Open1519.90135OpenAlexW4377013549MaRDI QIDQ6155877FDOQ6155877

Publication date: 7 June 2023

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

Full work available at URL: https://doi.org/10.1137/21m1451385

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Mathematics Subject Classification ID

Convex programming (90C25) Minimax procedures in statistical decision theory (62C20) Stochastic programming (90C15)

Cites Work

Robust Bayesian analysis: sensitivity to the prior
Uncertain convex programs: randomized solutions and confidence levels
The Scenario Approach to Robust Control Design
Randomized methods for design of uncertain systems: sample complexity and sequential algorithms
Sample average approximation method for chance constrained programming: Theory and applications
Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
The scenario approach for stochastic model predictive control with bounds on closed-loop constraint violations
A Scenario Approach for Non-Convex Control Design
On the Connection Between Compression Learning and Scenario Based Single-Stage and Cascading Optimization Problems
Performance Bounds for the Scenario Approach and an Extension to a Class of Non-Convex Programs
Randomized Solutions to Convex Programs with Multiple Chance Constraints
On the sample size of random convex programs with structured dependence on the uncertainty
Probability theory. Translated from the German by Robert B. Burckel
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FAST—Fast Algorithm for the Scenario Technique
Bounds for the difference between median and mean of beta and negative binomial distributions
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Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
Wait-and-judge scenario optimization
An Approach to Robust Bayesian Analysis for Multidimensional Parameter Spaces
On a class of interval predictor models with universal reliability
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Risk and complexity in scenario optimization
On the quantification of aleatory and epistemic uncertainty using sliced-normal distributions
Consistency of the Scenario Approach
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RANDOM PREDICTOR MODELS FOR RIGOROUS UNCERTAINTY QUANTIFICATION
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Cited In (5)

Scenario based optimisation over uncertain system identification models
On efficient WOWA optimization for decision support under risk
On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis
Modality for scenario analysis and maximum likelihood allocation
Conditional Risk Mappings

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