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arXiv · 1611.00980

Sampling methods for multistage robust convex optimization problems

Francesca Maggioni·Marida Bertocchi·Fabrizio Dabbene·Roberto Tempo
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Abstract

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.

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Francesca Maggioni, Marida Bertocchi, Fabrizio Dabbene, Roberto Tempo. 2016-11-03. Sampling methods for multistage robust convex optimization problems. https://arxiv.org/abs/1611.00980

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