FAST—Fast Algorithm for the Scenario Technique

The scenario approach is a recently introduced method to obtain feasible solutions to chance-constrained optimization problems based on random sampling. It has been noted that the sample complexity of the scenario approach rapidly increases with the number of optimization variables and this may pose a hurdle to its applicability to medium- and large-scale problems. We here introduce the Fast Algorithm for the Scenario Technique, a variant of the scenario optimization algorithm with reduced sample complexity.