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#Scenario-Theory-Py-Generalization-Assessment-Methods

Methods to compute generalization error bounds using Scenario Theory

Types of bounds ε on the violation probability

non-convex Scenario programs (a-posteriori)

Bounds derived and applied in:

  • [] M. C. Campi, S. Garatti and F. A. Ramponi, "A General Scenario Theory for Nonconvex Optimization and Decision Making," in IEEE Transactions on Automatic Control, vol. 63, no. 12, pp. 4067-4078, Dec. 2018, https://ieeexplore.ieee.org/document/8299432

  • [] Roberto Rocchetta, Luis G. Crespo, Sean P. Kenny, A scenario optimization approach to reliability-based design, Reliability Engineering & System Safety, Volume 196, 2020, 106755, ISSN 0951-8320, https://doi.org/10.1016/j.ress.2019.106755.

convex scenario program with relaxed constraints (a-posteriori)

Bounds derived and applied in:

Wait and Judge convex programs (a-posteriori)

Bounds derived and applied in:

Sample-and-discard convex programs (a-priori)

  • [] Campi, M.C., Garatti, S. A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality. J Optim Theory Appl 148, 257–280 (2011). https://doi.org/10.1007/s10957-010-9754-6

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