Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints
Discarding constraints in scenario optimization, a technique known as the sampling-and-discarding scheme, allows the decision maker to trade feasibility to performance. Recently, a removal scheme with a less conservative bound on the constraint violation probability of the final decision has been pr...
| Hoofdauteurs: | , , |
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| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
Elsevier
2023
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| _version_ | 1826311796954234880 |
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| author | Romao, L Margellos, KN Papachristodoulou, A |
| author_facet | Romao, L Margellos, KN Papachristodoulou, A |
| author_sort | Romao, L |
| collection | OXFORD |
| description | Discarding constraints in scenario optimization, a technique known as the sampling-and-discarding scheme, allows the
decision maker to trade feasibility to performance. Recently, a removal scheme with a less conservative bound on the constraint
violation probability of the final decision has been proposed. In this letter, we further contribute to the theoretical properties
of such a scheme by extending the number of discarded scenarios to be arbitrary, as opposed to an integer multiple of the
dimension of the decision space. There are two facets to the results of this paper. On the one hand, our feasibility guarantees
outperform the standard “sampling-and-discarding” bound in the literature. On the other hand, we highlight an inherent
property of the discarding mechanism, namely, the fact that removing a number of scenarios that is not an integer multiple
of the dimension of the decision space is likely to introduce additional conservatism.
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| first_indexed | 2024-03-07T08:16:32Z |
| format | Journal article |
| id | oxford-uuid:053a4b4d-905d-47db-9520-cfe79cd13268 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T08:16:32Z |
| publishDate | 2023 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oxford-uuid:053a4b4d-905d-47db-9520-cfe79cd132682024-01-12T09:28:37ZProbabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraintsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:053a4b4d-905d-47db-9520-cfe79cd13268EnglishSymplectic ElementsElsevier2023Romao, LMargellos, KNPapachristodoulou, ADiscarding constraints in scenario optimization, a technique known as the sampling-and-discarding scheme, allows the decision maker to trade feasibility to performance. Recently, a removal scheme with a less conservative bound on the constraint violation probability of the final decision has been proposed. In this letter, we further contribute to the theoretical properties of such a scheme by extending the number of discarded scenarios to be arbitrary, as opposed to an integer multiple of the dimension of the decision space. There are two facets to the results of this paper. On the one hand, our feasibility guarantees outperform the standard “sampling-and-discarding” bound in the literature. On the other hand, we highlight an inherent property of the discarding mechanism, namely, the fact that removing a number of scenarios that is not an integer multiple of the dimension of the decision space is likely to introduce additional conservatism. |
| spellingShingle | Romao, L Margellos, KN Papachristodoulou, A Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints |
| title | Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints |
| title_full | Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints |
| title_fullStr | Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints |
| title_full_unstemmed | Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints |
| title_short | Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints |
| title_sort | probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints |
| work_keys_str_mv | AT romaol probabilisticfeasibilityguaranteesforconvexscenarioprogramswithanarbitrarynumberofdiscardedconstraints AT margelloskn probabilisticfeasibilityguaranteesforconvexscenarioprogramswithanarbitrarynumberofdiscardedconstraints AT papachristodouloua probabilisticfeasibilityguaranteesforconvexscenarioprogramswithanarbitrarynumberofdiscardedconstraints |