Probabilistic guarantees on the objective value for the scenario approach via sensitivity analysis

Wang, Zheming [UCL] Jungers, Raphaël M. [UCL]

This paper is concerned with objective value performance of the scenario approach for robust convex optimization. A novel method is proposed to derive probabilistic bounds for the objective value from scenario programs with a finite number of samples. This method relies on a maxmin reformulation and the concept of complexity of robust optimization problems. With additional continuity and regularity conditions, via sensitivity analysis, we also provide explicit bounds which outperform an existing result in the literature. To illustrate the improvements of our results, we also provide a numerical example.