A Posteriori Probabilistic Bounds of Convex Scenario Programs With Validation Tests

• 成果类型: Article
• 署名作者: Shang, Chao; You, Fengqi
• 署名单位: Tsinghua University; Cornell University
• 刊物名称: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
• ISSN/ISSBN: 0018-9286
• DOI: 10.1109/TAC.2020.3024273
• 发表日期: 2021
• 页码: 4015-4028
• 关键词: uncertainty; Probabilistic logic; Robustness; decision making; optimization; Random variables; Bernoulli trials; data-driven decision-making; scenario approach; Stochastic Programming

摘要

Scenario programs have established themselves as efficient tools toward decision-making under uncertainty. To assess the quality of scenario-based solutions a posteriori, validation tests based on Bernoulli trials have been widely adopted in practice. However, to reach a theoretically reliable judgment of risk, one typically needs to collect massive validation samples. In this article, we propose new a posteriori bounds for convex scenario programs with validation tests, which are dependent on both realizations of support constraints, and performance on out-of-sample validation data. The proposed bounds enjoy wide generality in that many existing theoretical results can be incorporated as particular cases. To facilitate practical use, a systematic approach for parameterizing a posteriori probability bounds is also developed, which is shown to possess a variety of desirable properties allowing for easy implementations and clear interpretations. By synthesizing comprehensive information about support constraints and validation tests, improved risk evaluation can be achieved for randomized solutions in comparison with existing a posteriori bounds. Case studies on controller design of aircraft lateral motion are presented to validate the effectiveness of the proposed a posteriori bounds.