We consider scenario approximation of problems given by the optimization of a function over a constraint that is too difficult to be handled but can be efficiently approximated by a finite collection of constraints corresponding to alternative scenarios. The covered programs include min-max games, and semi-infinite, robust and chance-constrained programming problems. We prove convergence of the solutions of the approximated programs to the given ones, using mainly epigraphical convergence, a kind of variational convergence that has demonstrated to be a valuable tool in optimization problems.

Approximation of robust and chance-constrained programs

SERI, RAFFAELLO;
2013-01-01

Abstract

We consider scenario approximation of problems given by the optimization of a function over a constraint that is too difficult to be handled but can be efficiently approximated by a finite collection of constraints corresponding to alternative scenarios. The covered programs include min-max games, and semi-infinite, robust and chance-constrained programming problems. We prove convergence of the solutions of the approximated programs to the given ones, using mainly epigraphical convergence, a kind of variational convergence that has demonstrated to be a valuable tool in optimization problems.
2013
http://dx.doi.org/10.1007/s10957-012-0230-3
Mathematical programming; Epigraphical convergence; Scenario approximation; Sampling
Seri, Raffaello; Choirat, C.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11383/1720358
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