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Robust optimization via randomized algorithms

By: Fujisaki, Y.; Wada, T.;

2009 / IEEE / 978-4-907764-34-0


This item was taken from the IEEE Conference ' Robust optimization via randomized algorithms ' This paper gives an overview on probabilistic approach to robust optimization and chance constrained optimization. The problems are to minimize a linear objective function subject to a parameter dependent convex constraint, where a probability measure is introduced onto the parameter set. Two randomized techniques, the scenario optimization and the sequential optimization, are summarized, where characteristics and advantages of both techniques are discussed.