Distributionally robust chance constrained problem under interval distribution information

DOI10.1007/S11590-017-1160-7MaRDI QIDQ1670537zbMATH OpenOpenAlexFDO

Authors Kewei Ding, Minghui Wang, Nan-Jing Huang

Publication date 5 September 2018

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-017-1160-7

zbMATH Keywords

convex programmingrobust optimizationchance constraintinterval distribution information

Mathematics Subject Classification ID

Convex programming (90C25) Nonconvex programming, global optimization (90C26)

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Cites work

• Convex Approximations of Chance Constrained Programs
• Convex relaxations of chance constrained optimization problems
• Distributionally robust chance constraints for non-linear uncertainties
• Distributionally robust joint chance constraints with second-order moment information
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• From CVaR to uncertainty set: implications in joint chance-constrained optimization
• Lectures on Stochastic Programming
• On distributionally robust chance-constrained linear programs
• Optimization under probabilistic envelope constraints
• Some NP-complete problems in quadratic and nonlinear programming
• Theory and applications of robust optimization
• Tractable robust expected utility and risk models for portfolio optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(11)

• Distributionally robust joint chance constraints with second-order moment information
• Safe approximations for distributionally robust joint chance constrained program
• Distributionally robust joint chance constrained problem under moment uncertainty
• Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
• New safe approximation of ambiguous probabilistic constraints for financial optimization problem
• scientific article; zbMATH DE number 7652681 (Why is no real title available?)
• Distributionally robust expectation inequalities for structured distributions
• A review on distributionally robust chance constrained optimization problems
• From CVaR to uncertainty set: implications in joint chance-constrained optimization
• Distributionally robust chance constrained problems under general moments information
• A distributionally robust perspective on uncertainty quantification and chance constrained programming

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