Journal
OPERATIONS RESEARCH
Volume 62, Issue 3, Pages 662-671Publisher
INFORMS
DOI: 10.1287/opre.2014.1257
Keywords
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Funding
- Ministero dell'Istruzione, dell'Universita e della Ricerca (MIUR)
- European Union [FP7 257005]
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The scenario approach is a recently introduced method to obtain feasible solutions to chance-constrained optimization problems based on random sampling. It has been noted that the sample complexity of the scenario approach rapidly increases with the number of optimization variables and this may pose a hurdle to its applicability to medium-and large-scale problems. We here introduce the Fast Algorithm for the Scenario Technique, a variant of the scenario optimization algorithm with reduced sample complexity.
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