Distributionally robust joint chance constraints with second-order moment information
From MaRDI portal
Publication:1942277
DOI10.1007/s10107-011-0494-7zbMath1286.90103OpenAlexW2092660864WikidataQ92188264 ScholiaQ92188264MaRDI QIDQ1942277
Steve Zymler, Daniel Kuhn, Berc Rustem
Publication date: 18 March 2013
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/13955
Related Items
Solving joint chance constrained problems using regularization and Benders' decomposition ⋮ A discussion of probability functions and constraints from a variational perspective ⋮ Data-driven robust chance constrained problems: a mixture model approach ⋮ A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty ⋮ Distributionally robust mixed integer linear programs: persistency models with applications ⋮ A note on distributionally robust optimization under moment uncertainty ⋮ Scenario Min-Max Optimization and the Risk of Empirical Costs ⋮ Data-driven chance constrained stochastic program ⋮ Robust chance-constrained support vector machines with second-order moment information ⋮ Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods ⋮ Distributionally robust fixed interval scheduling on parallel identical machines under uncertain finishing times ⋮ Eco-friendly container transshipment route scheduling problem with repacking operations ⋮ Robust grouped variable selection using distributionally robust optimization ⋮ Frameworks and results in distributionally robust optimization ⋮ On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints ⋮ Partition-based distributionally robust optimization via optimal transport with order cone constraints ⋮ Distributionally Robust Optimization with Principal Component Analysis ⋮ A data-driven approach for supply chain network design under uncertainty with consideration of social concerns ⋮ Distributionally robust chance constrained problem under interval distribution information ⋮ Online learning based risk-averse stochastic MPC of constrained linear uncertain systems ⋮ Optimizing decisions for a dual-channel retailer with service level requirements and demand uncertainties: a Wasserstein metric-based distributionally robust optimization approach ⋮ Robust risk management ⋮ Distributionally robust chance constraint with unimodality-skewness information and conic reformulation ⋮ Robust and distributionally robust optimization models for linear support vector machine ⋮ CVaR-based robust models for portfolio selection ⋮ Bilevel programming approaches to production planning for multiple products with short life cycles ⋮ Distributions with maximum spread subject to Wasserstein distance constraints ⋮ Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models ⋮ A distributionally robust optimization approach for two-stage facility location problems ⋮ Chance-constrained set covering with Wasserstein ambiguity ⋮ Distributionally robust joint chance-constrained support vector machines ⋮ Distributionally robust chance constrained SVM model with \(\ell_2\)-Wasserstein distance ⋮ Distributionally robust multi-period portfolio selection subject to bankruptcy constraints ⋮ Ambiguous Joint Chance Constraints Under Mean and Dispersion Information ⋮ Optimal insurance under maxmin expected utility ⋮ Two-stage distributionally robust optimization model for warehousing-transportation problem under uncertain environment ⋮ An exact algorithm for linear integer programming problems with distributionally robust chance constraints ⋮ Multi-period portfolio optimization: translation of autocorrelation risk to excess variance ⋮ Ambiguous risk constraints with moment and unimodality information ⋮ Distributionally robust expectation inequalities for structured distributions ⋮ Robust optimization approximation for ambiguous P-model and its application ⋮ Distributionally robust polynomial chance-constraints under mixture ambiguity sets ⋮ A smoothing function approach to joint chance-constrained programs ⋮ The distributionally robust optimization reformulation for stochastic complementarity problems ⋮ Distributionally robust appointment scheduling with moment-based ambiguity set ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ On distributionally robust chance constrained programs with Wasserstein distance ⋮ Distribution-dependent robust linear optimization with applications to inventory control ⋮ On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems ⋮ A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics ⋮ Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation ⋮ Capacitated disassembly scheduling under stochastic yield and demand ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ On reduced semidefinite programs for second order moment bounds with applications ⋮ Benders decomposition for the distributionally robust optimization of pricing and reverse logistics network design in remanufacturing systems ⋮ Distributionally robust simple integer recourse ⋮ Distributionally robust chance constrained problems under general moments information ⋮ Wait-and-judge scenario optimization ⋮ Joint model of probabilistic-robust (probust) constraints applied to gas network optimization ⋮ Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances ⋮ A sparse enhanced indexation model with chance and cardinality constraints ⋮ Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems ⋮ Recent advances in robust optimization: an overview ⋮ Unnamed Item ⋮ Optimal XL-insurance under Wasserstein-type ambiguity ⋮ Data-driven distributionally robust chance-constrained optimization with Wasserstein metric ⋮ Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information ⋮ Multi-stage distributionally robust optimization with risk aversion ⋮ A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming ⋮ Exact algorithms for the chance-constrained vehicle routing problem ⋮ Convexity and Solutions of Stochastic Multidimensional 0-1 Knapsack Problems with Probabilistic Constraints ⋮ Robust assortment optimization using worst-case CVaR under the multinomial logit model ⋮ Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem ⋮ Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information ⋮ Disturbance observer-based elegant anti-disturbance saturation control for a class of stochastic systems ⋮ Distributionally Robust Design for Redundancy Allocation ⋮ Energy and reserve dispatch with distributionally robust joint chance constraints ⋮ KDE distributionally robust portfolio optimization with higher moment coherent risk ⋮ Convergence analysis on a smoothing approach to joint chance constrained programs ⋮ Distributionally robust optimization. A review on theory and applications ⋮ A new approach for worst-case regret portfolio optimization problem ⋮ Distributionally robust maximum probability shortest path problem ⋮ A multivariate Chebyshev bound of the Selberg form ⋮ Approximation approach for robust vessel fleet deployment problem with ambiguous demands ⋮ A sparse chance constrained portfolio selection model with multiple constraints ⋮ Bootstrap robust prescriptive analytics ⋮ Kernel density estimation based distributionally robust mean-CVaR portfolio optimization ⋮ Distributionally robust joint chance constrained problem under moment uncertainty ⋮ Distributionally robust return-risk optimization models and their applications ⋮ Distributionally robust bottleneck combinatorial problems: uncertainty quantification and robust decision making ⋮ Linear controller design for chance constrained systems ⋮ Distributionally robust multi-period location-allocation with multiple resources and capacity levels in humanitarian logistics ⋮ Robustness of stochastic programs with endogenous randomness via contamination ⋮ A distributionally robust perspective on uncertainty quantification and chance constrained programming ⋮ Distributionally robust optimization with moment ambiguity sets ⋮ Quantitative stability analysis for minimax distributionally robust risk optimization ⋮ Optimized Bonferroni approximations of distributionally robust joint chance constraints ⋮ Risk and complexity in scenario optimization ⋮ Generalized Gauss inequalities via semidefinite programming ⋮ Integrated Ad Delivery Planning for Targeted Display Advertising ⋮ A survey of nonlinear robust optimization ⋮ Exploiting low-rank structure in semidefinite programming by approximate operator splitting ⋮ Distributionally Robust Joint Chance Constrained Vessel Fleet Deployment Problem ⋮ ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs ⋮ Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms ⋮ Distributionally Robust Second-Order Stochastic Dominance Constrained Optimization with Wasserstein Ball ⋮ Robust Capacity Planning for Project Management ⋮ A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs ⋮ A Wasserstein distributionally robust chance constrained programming approach for emergency medical system planning problem ⋮ Robust optimization for spread quality and shortfall in guaranteed targeted display advertising planning ⋮ Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning ⋮ Robustifying humanitarian relief systems against travel time uncertainty ⋮ A conflict-directed approach to chance-constrained mixed logical linear programming ⋮ Affinely adjustable robust optimization for a multi‐period inventory problem with capital constraints and demand uncertainties ⋮ Balancing the profit and capacity under uncertainties: a target‐based distributionally robust knapsack problem ⋮ A modified exchange algorithm for distributional robust optimization and applications in risk management ⋮ On approximations of data-driven chance constrained programs over Wasserstein balls ⋮ On ambiguity-averse market equilibrium ⋮ Emergency medical service location problem based on physical bounds using chance-constrained programming approach ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Distributionally robust optimization by probability criterion for estimating a bounded signal ⋮ Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball ⋮ Distributionally robust joint chance-constrained programming: Wasserstein metric and second-order moment constraints ⋮ Wasserstein distributionally robust chance-constrained program with moment information ⋮ A multi-period emergency medical service location problem based on Wasserstein-metric approach using generalised benders decomposition method ⋮ Joint chance-constrained multi-objective multi-commodity minimum cost network flow problem with copula theory ⋮ A distributionally robust chance-constrained model for humanitarian relief network design ⋮ Globalized distributionally robust optimization based on samples ⋮ Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets ⋮ The Distributionally Robust Chance-Constrained Vehicle Routing Problem ⋮ Distributionally Robust Partially Observable Markov Decision Process with Moment-Based Ambiguity ⋮ Reducing Conservatism in Robust Optimization ⋮ Convergence Analysis for Mathematical Programs with Distributionally Robust Chance Constraint ⋮ Unnamed Item ⋮ Distributionally robust chance constraints for non-linear uncertainties ⋮ Discrete Approximation and Quantification in Distributionally Robust Optimization ⋮ Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity ⋮ Multivariate robust second-order stochastic dominance and resulting risk-averse optimization ⋮ Safe Approximations for Distributionally Robust Joint Chance Constrained Program ⋮ Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets ⋮ A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems ⋮ Probabilistic Guarantees in Robust Optimization ⋮ The distributionally robust complementarity problem ⋮ Robustness in the Optimization of Risk Measures
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Primal and dual linear decision rules in stochastic and robust optimization
- The extrema of probability determined by generalized moments. I: Bounded random variables
- A model for dynamic chance constraints in hydro power reservoir management
- Parameter estimation with expected and residual-at-risk criteria
- Sample average approximation method for chance constrained programming: Theory and applications
- Second-order cone programming
- On distributionally robust chance-constrained linear programs
- Ambiguous chance constrained problems and robust optimization
- Robust Optimization Made Easy with ROME
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Constructing Risk Measures from Uncertainty Sets
- From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
- Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
- A Robust Optimization Perspective on Stochastic Programming
- Generalized Chebyshev Bounds via Semidefinite Programming
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Minimax analysis of stochastic problems
- The Scenario Approach to Robust Control Design
- Chance Constrained Programming with Joint Constraints
- Convex Approximations of Chance Constrained Programs
- A Survey of the S-Lemma
