probabilistic problems

Gaining traction – On the convergence of an inner approximation scheme for probability maximization

  • Csaba I. Fábián
    • Categories Convex Optimization, Stochastic Programming Tags ,

    We analyze an inner approximation scheme for probability maximization. The approach was proposed in Fabian, Csizmas, Drenyovszki, Van Ackooij, Vajnai, Kovacs, Szantai (2018) Probability maximization by inner approximation, Acta Polytechnica Hungarica 15:105-125, as an analogue of a classic dual approach in the handling of probabilistic constraints. Even a basic implementation of the maximization scheme proved … Read more

    A randomized method for smooth convex minimization, motivated by probability maximization

  • Csaba I. Fábián
  • Tamas Szantai
    • Categories Nonlinear Optimization, Stochastic Programming Tags , ,

    We propose a randomized gradient method – or a randomized cutting-plane method from a dual viewpoint. From the primal viewpoint, our method bears a resemblance to the stochastic approximation family. But in contrast to stochastic approximation, the present method builds a model problem. CitationKecskemet College, Pallasz Athene University. Izsaki ut 10, 6000 Kecskemet, Hungary; and … Read more