Title :
The scenario approach to stochastic optimization
Author :
Goodwin, Graham C. ; Cea, Mauricio G. ; Cooper, Hal J. ; Feuer, Arie
Author_Institution :
Sch. of Electr. Eng. & Comput. Sci., Univ. of Newcastle, Newcastle, NSW, Australia
Abstract :
Many design problems in control, telecommunications and signal processing can be expressed as optimization problems. Many of these problems are stochastic in the sense that they are parameterized by random/uncertain variables. The goal of the current paper is to review recent research on stochastic optimization. We specifically address the issue of scenario generation which lies at the heart of the solution to such problems.
Keywords :
optimisation; stochastic processes; optimization problems; random variables; signal processing; stochastic optimization; telecommunications; uncertain variables; Approximation methods; Monte Carlo methods; Optimization; Probability distribution; Random variables; Stochastic processes; Vector quantization;
Conference_Titel :
Control and Automation (ICCA), 2011 9th IEEE International Conference on
Conference_Location :
Santiago
Print_ISBN :
978-1-4577-1475-7
DOI :
10.1109/ICCA.2011.6138102
