FAST---Fast Algorithm for the Scenario Technique

Algo Carè (), Simone Garatti () and Marco C. Campi ()
Additional contact information
Algo Carè: Department of Electrical and Electronic Engineering, The University of Melbourne, Parkville, VIC 3052, Australia
Simone Garatti: Dipartimento di Elettronica, Informazione e Bioingegneria, Politecnico di Milano, 20133 Milano, Italia
Marco C. Campi: Dipartimento di Ingegneria dell'Informazione, Università di Brescia, 25123 Brescia, Italia

Operations Research, 2014, vol. 62, issue 3, 662-671

Abstract: The scenario approach is a recently introduced method to obtain feasible solutions to chance-constrained optimization problems based on random sampling. It has been noted that the sample complexity of the scenario approach rapidly increases with the number of optimization variables and this may pose a hurdle to its applicability to medium- and large-scale problems. We here introduce the Fast Algorithm for the Scenario Technique, a variant of the scenario optimization algorithm with reduced sample complexity.

Keywords: stochastic programming; chance-constrained optimization; randomized algorithms; sample-based methods; scenario approach (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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