A constraint sampling approach for multi-stage robust optimization
نویسندگان
چکیده
منابع مشابه
A constraint sampling approach for multi-stage robust optimization
We propose a tractable approximation scheme for convex (not necessarily linear) multi-stage robust optimization problems. We approximate the adaptive decisions by finite linear combinations of prescribed basis functions and demonstrate how one can optimize over these decision rules at low computational cost through constraint randomization. We obtain a-priori probabilistic guarantees on the fea...
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ژورنال
عنوان ژورنال: Automatica
سال: 2012
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2011.12.002