Distributionally robust chance constrained problem under interval distribution information
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Publication:1670537
DOI10.1007/S11590-017-1160-7zbMATH Open1396.90062OpenAlexW2622294357MaRDI QIDQ1670537FDOQ1670537
Minghui Wang, Kewei Ding, 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
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- Theory and Applications of Robust Optimization
- Distributionally robust joint chance constraints with second-order moment information
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- 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 (7)
- Distributionally robust chance constrained problems under general moments information
- 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
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- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Distributionally robust expectation inequalities for structured distributions
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