Scenario Approximation of Robust and Chance-Constrained Programs

Raffaello Seri and Christine Choirat ()
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Christine Choirat: Universidad de Navarra

Journal of Optimization Theory and Applications, 2013, vol. 158, issue 2, No 15, 590-614

Abstract: 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.

Keywords: Mathematical programming; Epigraphical convergence; Scenario approximation; Sampling (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10957-012-0230-3

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