On the computational complexity and generalization properties of multi-stage and recursive scenario programs
Optimization and Control
2014-12-16 v1 Computational Complexity
Systems and Control
Abstract
We discuss the computational complexity and feasibility properties of scenario based techniques for uncertain optimization programs. We consider different solution alternatives ranging from the standard scenario approach to recursive variants, and compare feasibility as a function of the total computation burden. We identify trade-offs between the different methods depending on the problem structure and the desired probability of constraint satisfaction. Our motivation for this work stems from the applicability and complexity reduction when making decisions by means of recursive algorithms. We illustrate our results on an example from the area of approximate dynamic programming
Cite
@article{arxiv.1412.4203,
title = {On the computational complexity and generalization properties of multi-stage and recursive scenario programs},
author = {Nikolaos Kariotoglou and Kostas Margellos and John Lygeros},
journal= {arXiv preprint arXiv:1412.4203},
year = {2014}
}