Identification of Supporting Hyperplanes in Scenario Optimisation Problems with Random Linear Constraints

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dc.contributor.authorMahmood, Hamza
dc.contributor.authorNasir, Hasan Arshad
dc.contributor.authorAli, Usman
dc.date.accessioned2024-10-30T13:24:14Z
dc.date.available2024-10-30T13:24:14Z
dc.date.issued2020-12-14
dc.description.abstractUncertain optimisation problems often require satisfaction of possibly infinite constraints, corresponding to each realisation of the uncertain phenomena influencing the problem setup. To find an approximate solution to such problems, randomised approaches such as the scenario approach can be employed where only a finite sample of these constraints are looked at. However, to have a strong probabilistic guarantee on the feasibility of the scenario solution for the original problem, we still need a large number of constraints. This leads to intractability of the scenario problems as well. In this paper we propose a method to remove redundant constraints in the scenario problem, prior to solving the problem itself. We consider a specific class of scenario problems with linear inequality constraints subject to one additive and one multiplicative uncertain parameter. The proposed method exploits the system structure to identify the supporting constraints and it is based on rigorous theoretical footings. The working of the method is also illustrated with the help of a numerical problem.
dc.funderNo external funder
dc.identifier.citationMahmood, H., Nasir, H.A. and Ali, U. (2020) Identification of Supporting Hyperplanes in Scenario Optimisation Problems with Random Linear Constraints. 2020 59th IEEE Conference on Decision and Control (CDC), Jeju, Korea (South), 2020, pp. 2234-2239
dc.identifier.doihttps://doi.org/10.1109/cdc42340.2020.9303867
dc.identifier.isbn9781728174471
dc.identifier.urihttps://hdl.handle.net/2086/24428
dc.language.isoen
dc.peerreviewedYes
dc.publisherIEEE
dc.relation.ispartof2020 59th IEEE Conference on Decision and Control (CDC)
dc.researchinstitute.instituteInstitute of Sustainable Futures
dc.titleIdentification of Supporting Hyperplanes in Scenario Optimisation Problems with Random Linear Constraints
dc.typeConference

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