From CVaR to uncertainty set: implications in joint chance-constrained optimization

DOI10.1287/OPRE.1090.0712zbMATH Open1226.90051OpenAlexW2096011304WikidataQ93498849 ScholiaQ93498849MaRDI QIDQ3100481FDOQ3100481

Author name not available (Why is that?)

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1090.0712

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zbMATH Keywords

decision analysis: riskprobability: applicationprogramming: stochastic, nonlinear

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Stochastic programming (90C15)

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• Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo
• Convergence analysis on a smoothing approach to joint chance constrained programs
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• On approximations of data-driven chance constrained programs over Wasserstein balls
• An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems
• Robustifying humanitarian relief systems against travel time uncertainty
• Quadratic two-stage stochastic optimization with coherent measures of risk
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• Asset allocation using reliability method
• Optimal initial capital induced by the optimized certainty equivalent
• On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems
• Capacitated disassembly scheduling under stochastic yield and demand
• Constrained optimization with stochastic feasibility regions applied to vehicle path planning
• Distributionally robust chance constraints for non-linear uncertainties
• On the dual representation of coherent risk measures
• Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms
• Gradient and Hessian of joint probability function with applications on chance-constrained programs
• A note on distributionally robust optimization under moment uncertainty
• A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty
• Data-driven chance constrained stochastic program
• A class of two-stage distributionally robust games
• Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
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• FAST—Fast Algorithm for the Scenario Technique
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• Distributionally robust chance constrained problem under interval distribution information
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• Reducing Conservatism in Robust Optimization
• Multi-market portfolio optimization with conditional value at risk
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• Globalized distributionally robust optimization problems under the moment-based framework
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• Probabilistic Guarantees in Robust Optimization
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