From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
From MaRDI portal
Publication:3100481
DOI10.1287/opre.1090.0712zbMath1226.90051OpenAlexW2096011304WikidataQ93498849 ScholiaQ93498849MaRDI QIDQ3100481
No author found.
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
Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)
Related Items
Integrated Ad Delivery Planning for Targeted Display Advertising, Robust and reliable portfolio optimization formulation of a chance constrained problem, Solving joint chance constrained problems using regularization and Benders' decomposition, Constrained optimization with stochastic feasibility regions applied to vehicle path planning, 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, Two-stage stochastic linear programs with incomplete information on uncertainty, A note on distributionally robust optimization under moment uncertainty, A robust optimization approach to diet problem with overall glycemic load as objective function, Data-driven chance constrained stochastic program, On the dual representation of coherent risk measures, Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms, Ambiguity in risk preferences in robust stochastic optimization, Eco-friendly container transshipment route scheduling problem with repacking operations, Frameworks and results in distributionally robust optimization, Unnamed Item, Relaxation schemes for the joint linear chance constraint based on probability inequalities, Options strategies for international portfolios with overall risk management via multi-stage stochastic programming, FAST—Fast Algorithm for the Scenario Technique, A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs, An Augmented Lagrangian Decomposition Method for Chance-Constrained Optimization Problems, A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints, Distributionally robust chance constrained problem under interval distribution information, Stochastic optimization problems with CVaR risk measure and their sample average approximation, Quadratic two-stage stochastic optimization with coherent measures of risk, Multi-market portfolio optimization with conditional value at risk, Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set, Probability maximization via Minkowski functionals: convex representations and tractable resolution, Two-Stage Robust Quadratic Optimization with Equalities and Its Application to Optimal Power Flow, Gradient and Hessian of joint probability function with applications on chance-constrained programs, Robustifying humanitarian relief systems against travel time uncertainty, CVaR-based robust models for portfolio selection, 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, A class of two-stage distributionally robust games, On approximations of data-driven chance constrained programs over Wasserstein balls, Moving from linear to conic markets for electricity, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, 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, Distributionally robust joint chance constraints with second-order moment information, Wasserstein distributionally robust chance-constrained program with moment information, Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo, Distributionally robust joint chance-constrained support vector machines, A distributionally robust chance-constrained model for humanitarian relief network design, Chance constrained uncertain classification via robust optimization, Ambiguous Joint Chance Constraints Under Mean and Dispersion Information, Data-driven robust optimization, Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets, Bicriteria Approximation of Chance-Constrained Covering Problems, 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, An Approximation-Based Approach for Chance-Constrained Vehicle Routing and Air Traffic Control Problems, Stochastic linear programming with a distortion risk constraint, On distributionally robust chance constrained programs with Wasserstein distance, Optimal initial capital induced by the optimized certainty equivalent, Copula theory approach to stochastic geometric programming, Reducing Conservatism in Robust Optimization, A general solution for robust linear programs with distortion risk constraints, 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, Capacitated disassembly scheduling under stochastic yield and demand, A polynomial approximation-based approach for chance-constrained optimization, Decision rule approximations for the risk averse reservoir management problem, Robust optimization approximation for joint chance constrained optimization problem, A risk management system for sustainable fleet replacement, Asset allocation using reliability method, Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information, Analysis of futures and spot electricity markets under risk aversion, A chance-constrained stochastic model predictive control problem with disturbance feedback, A Robust Optimization Model for Managing Elective Admission in a Public Hospital, Distributionally robust chance constraints for non-linear uncertainties, Exact algorithms for the chance-constrained vehicle routing problem, Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches, A model of distributionally robust two-stage stochastic convex programming with linear recourse, Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity, Bounds for probabilistic programming with application to a blend planning problem, Energy and reserve dispatch with distributionally robust joint chance constraints, A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs, Chance-constrained sets approximation: a probabilistic scaling approach, Convergence analysis on a smoothing approach to joint chance constrained programs, Distributionally robust maximum probability shortest path problem, Safe Approximations for Distributionally Robust Joint Chance Constrained Program, Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets, Data-driven tuning for chance constrained optimization: analysis and extensions, Distributionally robust joint chance constrained problem under moment uncertainty, Probabilistic Guarantees in Robust Optimization, Linear controller design for chance constrained systems, A cooperative bargaining framework for decentralized portfolio optimization, A distributionally robust perspective on uncertainty quantification and chance constrained programming, Advances and applications of chance-constrained approaches to systems optimisation under uncertainty, Distributionally Robust Chance Constrained Geometric Optimization, The distributionally robust complementarity problem, Risk management for international portfolios with basket options: A multi-stage stochastic programming approach, Optimized Bonferroni approximations of distributionally robust joint chance constraints
