Lecture 5: Stochastic Programming

author: Stephen P. Boyd, Department of Electrical Engineering, Stanford University
published: July 21, 2010,   recorded: April 2008,   views: 6620
released under terms of: Creative Commons Attribution Non-Commercial (CC-BY-NC)

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By the way, if fi of x omega is less than or equal to some – if that constraint represents something like a resource usage, it means this is the expected over-utilization. Something like that. It can be all sorts of things. If it is a timing constraint, saying something has to be done by a certain amount, this is called the expected tardiness. If your basic inequality said this job has to be finished by this time, that’s the expected tardiness. That works because the plus function is non-decreasing and convex and so on. Now another one would be this, you could take the expected value of the maximum of all the constraints, and this is the expected worst violation. ...

See the whole transcript at Convex Optimization II - Lecture 05

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