On distributionally robust chance-constrained linear programs
From MaRDI portal
Publication:2370049
DOI10.1007/s10957-006-9084-xzbMath1143.90021OpenAlexW1967729795MaRDI QIDQ2370049
Publication date: 21 June 2007
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-006-9084-x
Related Items
A survey of nonlinear robust optimization ⋮ Constrained optimization with stochastic feasibility regions applied to vehicle path planning ⋮ Regularization via Mass Transportation ⋮ Data-driven robust chance constrained problems: a mixture model approach ⋮ Robust optimization approach for a chance-constrained binary knapsack problem ⋮ A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty ⋮ On distributionally robust chance-constrained linear programs ⋮ A note on distributionally robust optimization under moment uncertainty ⋮ The mixed capacitated general routing problem under uncertainty ⋮ Data-driven chance constrained stochastic program ⋮ Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty ⋮ Distributionally robust workforce scheduling in call centres with uncertain arrival rates ⋮ Distributed Model Predictive Control of Linear Systems with Stochastic Parametric Uncertainties and Coupled Probabilistic Constraints ⋮ Ambiguity in risk preferences in robust stochastic optimization ⋮ Network design in scarce data environment using moment-based distributionally robust optimization ⋮ Vehicle routing with probabilistic capacity constraints ⋮ Frameworks and results in distributionally robust optimization ⋮ Distributionally robust chance constrained problem under interval distribution information ⋮ Trajectory planning under environmental uncertainty with finite-sample safety guarantees ⋮ Distributionally Robust Two-Stage Stochastic Programming ⋮ Distributionally robust chance constraint with unimodality-skewness information and conic reformulation ⋮ Easy distributions for combinatorial optimization problems with probabilistic constraints ⋮ Dynamic portfolio optimization under multi-factor model in stochastic markets ⋮ A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support ⋮ A conflict-directed approach to chance-constrained mixed logical linear programming ⋮ Distributionally robust trade‐off design of parity relation based fault detection systems ⋮ Risk bounded nonlinear robot motion planning with integrated perception \& control ⋮ Distributions with maximum spread subject to Wasserstein distance constraints ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Distributionally robust joint chance constraints with second-order moment information ⋮ Chance-constrained set covering with Wasserstein ambiguity ⋮ Wasserstein distributionally robust chance-constrained program with moment information ⋮ Distributionally robust joint chance-constrained support vector machines ⋮ Distributionally robust chance constrained SVM model with \(\ell_2\)-Wasserstein distance ⋮ Ambiguous Joint Chance Constraints Under Mean and Dispersion Information ⋮ Data-driven robust optimization ⋮ Unnamed Item ⋮ Optimal insurance under maxmin expected utility ⋮ An exact algorithm for linear integer programming problems with distributionally robust chance constraints ⋮ Ambiguous risk constraints with moment and unimodality information ⋮ Bicriteria Approximation of Chance-Constrained Covering Problems ⋮ Distributionally robust polynomial chance-constraints under mixture ambiguity sets ⋮ The distributionally robust optimization reformulation for stochastic complementarity problems ⋮ Control and Systems Theory for Advanced Manufacturing ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Large-scale unit commitment under uncertainty: an updated literature survey ⋮ On distributionally robust chance constrained programs with Wasserstein distance ⋮ Reducing Conservatism in Robust Optimization ⋮ A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints ⋮ Distribution-dependent robust linear optimization with applications to inventory control ⋮ On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems ⋮ A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Scheduling jobs with normally distributed processing times on parallel machines ⋮ Distributionally robust chance constrained problems under general moments information ⋮ When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio ⋮ A sparse enhanced indexation model with chance and cardinality constraints ⋮ Worst-case demand distributions in vehicle routing ⋮ A chance-constrained programming framework to handle uncertainties in radiation therapy treatment planning ⋮ Capacity planning with demand uncertainty for outpatient clinics ⋮ Convergence Analysis for Mathematical Programs with Distributionally Robust Chance Constraint ⋮ Solving chance-constrained combinatorial problems to optimality ⋮ Robust sample average approximation ⋮ Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information ⋮ Likelihood robust optimization for data-driven problems ⋮ A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming ⋮ Distributionally robust chance constraints for non-linear uncertainties ⋮ Multi-period portfolio optimization with linear control policies ⋮ Stochastic model predictive control with joint chance constraints ⋮ Exact algorithms for the chance-constrained vehicle routing problem ⋮ Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches ⋮ Safe and Secure Networked Control Systems under Denial-of-Service Attacks ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem ⋮ Games with distributionally robust joint chance constraints ⋮ Robust Adaptive Routing Under Uncertainty ⋮ Distributionally Robust Stochastic Dual Dynamic Programming ⋮ Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information ⋮ Tractable algorithms for chance-constrained combinatorial problems ⋮ Disturbance observer-based elegant anti-disturbance saturation control for a class of stochastic systems ⋮ Branch and Price for Chance-Constrained Bin Packing ⋮ Statistical Optimization in High Dimensions ⋮ The risk-averse traveling repairman problem with profits ⋮ Chance-constrained sets approximation: a probabilistic scaling approach ⋮ Distributionally robust optimization. A review on theory and applications ⋮ Distributionally robust maximum probability shortest path problem ⋮ Dynamic planning of a two-dose vaccination campaign with uncertain supplies ⋮ Safe Approximations for Distributionally Robust Joint Chance Constrained Program ⋮ Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets ⋮ A sparse chance constrained portfolio selection model with multiple constraints ⋮ Data-driven tuning for chance constrained optimization: analysis and extensions ⋮ STOCHASTIC MODEL PREDICTIVE CONTROL FOR SPACECRAFT RENDEZVOUS AND DOCKING VIA A DISTRIBUTIONALLY ROBUST OPTIMIZATION APPROACH ⋮ Distributionally robust joint chance constrained problem under moment uncertainty ⋮ Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity ⋮ Linear controller design for chance constrained systems ⋮ A distributionally robust perspective on uncertainty quantification and chance constrained programming ⋮ The distributionally robust complementarity problem ⋮ Optimized Bonferroni approximations of distributionally robust joint chance constraints ⋮ Risk and complexity in scenario optimization ⋮ Dynamic traffic assignment under uncertainty: a distributional robust chance-constrained approach ⋮ Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency ⋮ Stochastic optimal control for autonomous driving applications via polynomial chaos expansions ⋮ Distributionally Robust Strategy Synthesis for Switched Stochastic Systems
Cites Work
- Unnamed Item
- Unnamed Item
- Applications of second-order cone programming
- Robust solutions of uncertain linear programs
- The uniform distribution: A rigorous justification for its use in robustness analysis
- On distributionally robust chance-constrained linear programs
- Random spherical uncertainty in estimation and robustness
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Probability Inequalities for Sums of Bounded Random Variables
- Multivariate Chebyshev Inequalities
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
This page was built for publication: On distributionally robust chance-constrained linear programs
