Distributionally Robust Chance Constrained Geometric Optimization
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Cites work
- A copositive approach for two-stage adjustable robust optimization with uncertain right-hand sides
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- A second-order cone programming approach for linear programs with joint probabilistic constraints
- A tutorial on geometric programming
- A variational approach to copositive matrices
- Ambiguity in portfolio selection
- Ambiguous joint chance constraints under mean and dispersion information
- Chance constrained \(0-1\) quadratic programs using copulas
- Chance-Constrained Programming with Joint Constraints
- Chebyshev inequalities for products of random variables
- Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
- Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae
- Data-driven chance constrained stochastic program
- Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Data-driven robust chance constrained problems: a mixture model approach
- Distributionally Robust Convex Optimization
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust stochastic knapsack problem
- Extremal dependence concepts
- From CVaR to uncertainty set: implications in joint chance-constrained optimization
- Geometric Programming
- Geometric Programming: Methods, Computations and Applications
- scientific article; zbMATH DE number 3257962 (Why is no real title available?)
- scientific article; zbMATH DE number 3272827 (Why is no real title available?)
- Mixed 0-1 Linear Programs Under Objective Uncertainty: A Completely Positive Representation
- Notoriously hard (mixed-)binary QPs: empirical evidence on new completely positive approaches
- NP-completeness of the linear complementarity problem
- On Chance Constrained Programming Problems with Joint Constraints
- On distributionally robust chance constrained programs with Wasserstein distance
- On the copositive representation of binary and continuous nonconvex quadratic programs
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Robustifying convex risk measures for linear portfolios: a nonparametric approach
- Some NP-complete problems in quadratic and nonlinear programming
- Stochastic geometric optimization with joint probabilistic constraints
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- Worst-case conditional value-at-risk with application to robust portfolio management
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Cited in
(23)- Distributionally robust chance constrained problem under interval distribution information
- Stochastic geometric optimization with joint probabilistic constraints
- Optimized Bonferroni approximations of distributionally robust joint chance constraints
- Distributionally robust polynomial chance-constraints under mixture ambiguity sets
- On distributionally robust chance constrained programs with Wasserstein distance
- Distributionally robust chance constrained problems under general moments information
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- On distributionally robust chance-constrained linear programs
- Distributionally robust chance constraint with unimodality-skewness information and conic reformulation
- Ambiguous joint chance constraints under mean and dispersion information
- On deterministic reformulations of distributionally robust joint chance constrained optimization problems
- Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball
- A review on distributionally robust chance constrained optimization problems
- Robust optimization problem for linear polyhedral cone constrained distribution on KL-divergence
- Convergence analysis for mathematical programs with distributionally robust chance constraint
- Distributionally robust chance constrained games under Wasserstein ball
- Robust chance-constrained geometric programming with application to demand risk mitigation
- Mathematical programs with distributionally robust chance constraints: statistical robustness, discretization and reformulation
- A dynamical neural network approach for distributionally robust chance-constrained Markov decision process
- Distributionally robust chance-constrained Markov decision processes with random payoff
- An empirical quantile estimation approach for chance-constrained nonlinear optimization problems
- Distributionally robust geometric joint chance-constrained optimization: neurodynamic approaches
- Rectangular chance constrained geometric optimization
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