On safe tractable approximations of chance constraints

DOI10.1016/j.ejor.2011.11.006zbMath1253.90185OpenAlexW2062843008WikidataQ57392891 ScholiaQ57392891MaRDI QIDQ1926690

Arkadi Nemirovski

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.11.006

zbMATH Keywords

convex programmingrobust optimizationchance constraintsuncertainty modelingoptimization under uncertainty

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Related Items (32)

Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty ⋮ Second order conic approximation for disassembly line design with joint probabilistic constraints ⋮ Relaxations and approximations of chance constraints under finite distributions ⋮ Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs ⋮ Chance-Constrained Multiple Bin Packing Problem with an Application to Operating Room Planning ⋮ Chance constrained unit commitment approximation under stochastic wind energy ⋮ A look at the past and present of optimization - an editorial ⋮ Robust DC optimal power flow with modeling of solar power supply uncertainty via R-vine copulas ⋮ An implicit and explicit dual model predictive control formulation for a steel recycling process ⋮ Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation ⋮ Safe, learning-based MPC for highway driving under Lane-change uncertainty: a distributionally robust approach ⋮ On approximations of data-driven chance constrained programs over Wasserstein balls ⋮ Approximation schemes for districting problems with probabilistic constraints ⋮ Serial dictatorship vs. Nash in assessing Pareto optimality in many-to-many matchings with an application in water management ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ Moving from linear to conic markets for electricity ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ A sampling criterion for constrained Bayesian optimization with uncertainties ⋮ Risk analysis and decision theory: a bridge ⋮ Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo ⋮ Ambiguous Joint Chance Constraints Under Mean and Dispersion Information ⋮ The Distributionally Robust Chance-Constrained Vehicle Routing Problem ⋮ Robust optimization approximation for ambiguous P-model and its application ⋮ Wait-and-judge scenario optimization ⋮ Recent advances in robust optimization: an overview ⋮ Distributionally robust discrete optimization with entropic Value-at-Risk ⋮ Analytic approximation and differentiability of joint chance constraints ⋮ Bounds for probabilistic programming with application to a blend planning problem ⋮ Chance-constrained sets approximation: a probabilistic scaling approach ⋮ Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets ⋮ A robust approach to warped Gaussian process-constrained optimization ⋮ Risk and complexity in scenario optimization

Cites Work

• The Brunn-Minkowski inequality in Gauss space
• Robust solutions of uncertain linear programs
• The concept of comonotonicity in actuarial science and finance: theory.
• Robust discrete optimization and network flows
• Uncertain convex programs: randomized solutions and confidence levels
• Generalized deviations in risk analysis
• Ambiguous chance constrained problems and robust optimization
• The problem of calculating the volume of a polyhedron is enumerably hard
• The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
• Deterministic approximations of probability inequalities
• The minimax approach to stochastic programming and an illustrative application
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Probabilistically Constrained Linear Programs and Risk-Adjusted Controller Design
• Chance Constrained Programming with Joint Constraints
• Convex Approximations of Chance Constrained Programs
• The random paving property for uniformly bounded matrices
• On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
• Concavity and efficient points of discrete distributions in probabilistic programming.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On safe tractable approximations of chance constraints