A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf
.
Tight generalization guarantees for the sampling and discarding approach to scenario optimization
2020
2020 59th IEEE Conference on Decision and Control (CDC)
We consider the scenario approach to deal with convex optimization programs affected by uncertainty, which is in turn represented by means of scenarios. An approach to deal with such programs while trading feasibility to performance is known as sampling and discarding in the scenario approach literature. Existing bounds on the probability of constraint satisfaction for such programs are not tight. In this paper we use learning theoretic concepts based on the notion of compression to show that
doi:10.1109/cdc42340.2020.9304035
fatcat:cpvajh4yvjbqhejqafl6znwg2i