Simone Garatti

Chance-constrained optimization via randomization: feasibility and optimality

  • Marco C. Campi
  • Simone Garatti
    • Categories Convex Optimization, Semi-infinite Programming, Stochastic Programming Tags , ,

    In this paper we study the link between a semi-infinite chance-constrained optimization problem and its randomized version, i.e. the problem obtained by sampling a finite number of its constraints. Extending previous results on the feasibility of randomized convex programs, we establish here the feasibility of the solution obtained after the elimination of a portion of … Read more

    The Exact Feasibility of Randomized Solutions of Robust Convex Programs

  • Marco C. Campi
  • Simone Garatti
    • Categories Convex Optimization, Robust Optimization, Semi-infinite Programming Tags , , ,

    Robust optimization programs are hard to solve even when the constraints are convex. In previous contributions, it has been shown that approximately robust solutions (i.e. solutions feasible for all constraints but a small fraction of them) to convex programs can be obtained at low computational cost through constraints randomization. In this paper, we establish new … Read more