ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs
From MaRDI portal
Publication:5060524
DOI10.1287/opre.2021.2225OpenAlexW4225753946WikidataQ114058135 ScholiaQ114058135MaRDI QIDQ5060524
Publication date: 10 January 2023
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.04763
Related Items (3)
On approximations of data-driven chance constrained programs over Wasserstein balls ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Data-driven tuning for chance constrained optimization: analysis and extensions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Decomposition algorithms for optimizing multi-server appointment scheduling with chance constraints
- Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs
- An integer programming approach for linear programs with probabilistic constraints
- Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
- Convexity of chance constraints with independent random variables
- Sample average approximation method for chance constrained programming: Theory and applications
- A geometric view of parametric linear programming
- The complexity and approximability of finding maximum feasible subsystems of linear relations
- Convex analysis approach to d. c. programming: Theory, algorithms and applications
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- Relaxations and approximations of chance constraints under finite distributions
- On quantile cuts and their closure for chance constrained optimization problems
- Distributionally robust joint chance constraints with second-order moment information
- Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
- Robust multi-product newsvendor model with uncertain demand and substitution
- On distributionally robust chance constrained programs with Wasserstein distance
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Eventual convexity of probability constraints with elliptical distributions
- Tractable reformulations of two-stage distributionally robust linear programs over the type-\(\infty\) Wasserstein ball
- Lectures on Modern Convex Optimization
- Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities
- Chance-Constrained Optimal Power Flow: Risk-Aware Network Control under Uncertainty
- Chance-Constrained Binary Packing Problems
- Covering Linear Programming with Violations
- Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- The Probabilistic Set-Covering Problem
- Robust Stochastic Approximation Approach to Stochastic Programming
- On the interchange of subdifferentiation and conditional expectation for convex functionals
- Programming under probabilistic constraints with a random technology matrix
- Numerical solution technique for joint chance-constrained programming problem —An application to electric power capacity expansion
- Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
- Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae
- On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems
- Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation
- Bicriteria Approximation of Chance-Constrained Covering Problems
- Quantifying Distributional Model Risk via Optimal Transport
- The Scenario Approach to Robust Control Design
- Probabilistic Set Covering with Correlations
- Probabilistically Constrained Linear Programs and Risk-Adjusted Controller Design
- A Stochastic Programming Model
- Structural properties of linear probabilistic constraints
- Convex Approximations of Chance Constrained Programs
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
- Tail Conditional Expectations for Elliptical Distributions
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
- Concavity and efficient points of discrete distributions in probabilistic programming.
- On the coupled continuous knapsack problems: projection onto the volume constrained Gibbs \(N\)-simplex
- Sharing the value‐at‐risk under distributional ambiguity
This page was built for publication: ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs
