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Scenario Approximation of Robust and Chance-Constrained Programs

✍ Scribed by Seri, Raffaello; Choirat, Christine

Book ID
118262112
Publisher
Springer
Year
2013
Tongue
English
Weight
907 KB
Volume
158
Category
Article
ISSN
0022-3239

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We consider a chance constrained problem, where one seeks to minimize a convex objective over solutions satisfying, with a given close to one probability, a system of randomly perturbed convex constraints. This problem may happen to be computationally intractable; our goal is to build its computatio