Sampling methods for multistage robust convex optimization problems Article Swipe
Related Concepts
Francesca Maggioni
,
Marida Bertocchi
,
Fabrizio Dabbene
,
Roberto Tempo
·
YOU?
·
· 2016
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.1611.00980
· OA: W2546576649
YOU?
·
· 2016
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.1611.00980
· OA: W2546576649
In this paper, probabilistic guarantees for constraint sampling of multistage robust convex optimization problems are derived. The dynamic nature of these problems is tackled via the so-called scenario-with-certificates approach. This allows to avoid the conservative use of explicit parametrizations through decision rules, and provides a significant reduction of the sample complexity to satisfy a given level of reliability. An explicit bound on the probability of violation is also given. Numerical results dealing with a multistage inventory management problem show the efficacy of the proposed approach.
Related Topics
Finding more related topics…