Risk and complexity in scenario optimization

• Published in: Mathematical programming Vol. 191; no. 1; pp. 243 - 279
• Main Authors: Garatti, S., Campi, M. C.
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.01.2022; Springer; Springer Nature B.V
• Subjects: Calculus of Variations and Optimal Control; Optimization; Combinatorics; Complexity; Convexity; Full Length Paper; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Mathematics and Statistics; Mathematics of Computing; Numerical Analysis; Optimization; Risk assessment; Theoretical; Probabilistic constraints; 90C25; 62C12; Scenario approach; 90C15; Stochastic optimization; Data-driven optimization

Scenario optimization is a broad methodology to perform optimization based on empirical knowledge. One collects previous cases, called “scenarios”, for the set-up in which optimization is being performed, and makes a decision that is optimal for the cases that have been collected. For convex optimiz...