A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality

By Marco Claudio Campi, Simone Garatti. Journal of Optimization Theory and Applications, 2011

454 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/956114bdc45fef09d54fede25c805ed3696004dd

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In Control and Systems Engineering

In Management Science and Operations Research

In Statistics and Probability

Citations in the corpus

A tractable approximation of non-convex chance constrained optimization with non-Gaussian uncertainties (2015, background): “Recent scenario reduction techniques (Campi and Garetti 2011, Henrion, Küchler, and Römisch 2009) could provide some improvements of computational burdens.”
Stochastic Model Predictive Control: An Overview and Perspectives for Future Research (2016, unknown): “Hence, recent work on scenario-based MPC has mainly attempted to reduce the computational complexity of these algorithms [107]–[109].”
Monte Carlo sampling-based methods for stochastic optimization (2014, background): “Campi and Garatti [37] and Pagnoncelli et al.”
Learning-Based Model Predictive Control: Toward Safe Learning in Control (2020, methodology): “We again address parametric uncertainty first and treat measurable disturbances w(k) that are correlated in time as a special case, which is often approached using scenario optimization techniques (75, 76).”
Optimization under Uncertainty in the Era of Big Data and Deep Learning: When Machine Learning Meets Mathematical Programming (2019, background): “Subsequent work along this direction includes a sampling-and-discarding method [174].”
An Actor-Critic Contextual Bandit Algorithm for Personalized Mobile Health Interventions (2017, background): “Maximizing the average reward V ∗(θ) subject to the stochasticity constraint (1) is a chance constrained optimization problem, an active research area in recent years (Nemirovski and Shapiro (2006); Campi and Garatti (2011)).”