Publikation:

Performance Bounds for the Scenario Approach and an Extension to a Class of Non-convex Programs

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Datum

2014

Autor:innen

Mohajerin Esfahani, Peyman
Lygeros, John

Herausgeber:innen

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URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-2-g1frqup9ed2z7
DOI (zitierfähiger Link)
https://doi.org/10.1109/TAC.2014.2330702
ArXiv-ID
http://arxiv.org/abs/1307.0345v2

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Urheberrechtlich geschützt

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Zeitschriftenartikel
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Published

Erschienen in

IEEE Transactions on Automatic Control. IEEE. 2014, 60(1), S. 46-58. ISSN 0018-9286. eISSN 1558-2523. Verfügbar unter: doi: 10.1109/TAC.2014.2330702

Zusammenfassung

We consider the Scenario Convex Program (SCP) for two classes of optimization problems that are not tractable in general: Robust Convex Programs (RCPs) and Chance-Constrained Programs (CCPs). We establish a probabilistic bridge from the optimal value of SCP to the optimal values of RCP and CCP in which the uncertainty takes values in a general, possibly infinite dimensional, metric space. We then extend our results to a certain class of non-convex problems that includes, for example, binary decision variables. In the process, we also settle a measurability issue for a general class of scenario programs, which to date has been addressed by an assumption. Finally, we demonstrate the applicability of our results on a benchmark problem and a problem in fault detection and isolation.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
004 Informatik

Schlagwörter

Optimization, Uncertainty, Probabilistic logic, Robustness, Measurement uncertainty, Fault detection

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ISO 690MOHAJERIN ESFAHANI, Peyman, Tobias SUTTER, John LYGEROS, 2014. Performance Bounds for the Scenario Approach and an Extension to a Class of Non-convex Programs. In: IEEE Transactions on Automatic Control. IEEE. 2014, 60(1), S. 46-58. ISSN 0018-9286. eISSN 1558-2523. Verfügbar unter: doi: 10.1109/TAC.2014.2330702
BibTex
@article{MohajerinEsfahani2014Perfo-55734,
  year={2014},
  doi={10.1109/TAC.2014.2330702},
  title={Performance Bounds for the Scenario Approach and an Extension to a Class of Non-convex Programs},
  number={1},
  volume={60},
  issn={0018-9286},
  journal={IEEE Transactions on Automatic Control},
  pages={46--58},
  author={Mohajerin Esfahani, Peyman and Sutter, Tobias and Lygeros, John}
}
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