violation probability

A constraint sampling approach for multi-stage robust optimization

  • Daniel Kuhn
  • Berc Rustem
  • Phebe Vayanos
    • Categories Robust Optimization Tags , , ,

    We propose a tractable approximation scheme for convex (not necessarily linear) multi-stage robust optimization problems. We approximate the adaptive decisions by finite linear combinations of prescribed basis functions and demonstrate how one can optimize over these decision rules at low computational cost through constraint randomization. We obtain a-priori probabilistic guarantees on the feasibility properties of … Read more

    Worst-Case Violation of Sampled Convex Programs for Optimization with Uncertainty

  • Takafumi Kanamori
  • Akiko Takeda
    • Categories Robust Optimization Tags , , , ,

    Uncertain programs have been developed to deal with optimization problems including inexact data, i.e., uncertainty. A deterministic approach called robust optimization is commonly applied to solve these problems. Recently, Calafiore and Campi have proposed a randomized approach based on sampling of constraints, where the number of samples is determined so that only small portion of … Read more