Distributionally robust chance constrained problem under interval distribution information
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Publication:1670537
DOI10.1007/S11590-017-1160-7zbMATH Open1396.90062OpenAlexW2622294357MaRDI QIDQ1670537FDOQ1670537
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
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Cites Work
- Some NP-complete problems in quadratic and nonlinear programming
- From CVaR to uncertainty set: implications in joint chance-constrained optimization
- Theory and applications of robust optimization
- Distributionally robust joint chance constraints with second-order moment information
- On distributionally robust chance-constrained linear programs
- Convex relaxations of chance constrained optimization problems
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Lectures on Stochastic Programming
- Optimization under probabilistic envelope constraints
- Convex Approximations of Chance Constrained Programs
- Tractable robust expected utility and risk models for portfolio optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Distributionally robust chance constraints for non-linear uncertainties
Cited In (11)
- Distributionally robust chance constrained problems under general moments information
- Safe approximations for distributionally robust joint chance constrained program
- From CVaR to uncertainty set: implications in joint chance-constrained optimization
- A review on distributionally robust chance constrained optimization problems
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Distributionally robust joint chance constraints with second-order moment information
- Title not available (Why is that?)
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
- Distributionally robust joint chance constrained problem under moment uncertainty
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Distributionally robust expectation inequalities for structured distributions
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