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A note on the expected probability of constraint violation in sampled convex programs | IEEE Conference Publication | IEEE Xplore

A note on the expected probability of constraint violation in sampled convex programs


Abstract:

In this note we derive an exact expression for the expected probability V of constraint violation in a sampled convex program (see [1], [2] for definitions and an introdu...Show More

Abstract:

In this note we derive an exact expression for the expected probability V of constraint violation in a sampled convex program (see [1], [2] for definitions and an introduction to this topic): V = expected number of support constraints/1 + number of constraints. This result (Theorem 1) is obtained using a simple technique based on cardinality count. In the note, we also use a Chernoff bounding technique on the upper tail violation probability expression derived in to obtain one of the tightest available explicit bounds on the sample complexity of sampled convex programs (Proposition 3).
Date of Conference: 08-10 July 2009
Date Added to IEEE Xplore: 09 October 2009
ISBN Information:
Print ISSN: 1085-1992
Conference Location: St. Petersburg, Russia

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