On Safe Tractable Approximations of Chance-Constrained Linear Matrix Inequalities

DOI10.1287/MOOR.1080.0352zbMATH Open1218.90140DBLPjournals/mor/Ben-TalN09OpenAlexW2000034396WikidataQ57392909 ScholiaQ57392909MaRDI QIDQ3169014FDOQ3169014

Aharon Ben-Tal, Arkadi Nemirovski

Publication date: 27 April 2011

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

Full work available at URL: https://doi.org/10.1287/moor.1080.0352

zbMATH Keywords

chance constraintsconvex programminglinear matrix inequalitiesmeasure concentration

Mathematics Subject Classification ID

Convex programming (90C25) Large deviations (60F10) Semidefinite programming (90C22) Stochastic programming (90C15)

Cited In (18)

• Probability estimation via policy restrictions, convexification, and approximate sampling
• Robust formulations for clustering-based large-scale classification
• Large-scale unit commitment under uncertainty: an updated literature survey
• Risk and complexity in scenario optimization
• A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs
• Tractable stochastic analysis in high dimensions via robust optimization
• A note on random signs
• Interval solutions for interval algebraic equations
• Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
• Large-scale unit commitment under uncertainty
• Relaxation schemes for the joint linear chance constraint based on probability inequalities
• Moment inequalities for sums of random matrices and their applications in optimization
• On safe tractable approximations of chance constraints
• New safe approximation of ambiguous probabilistic constraints for financial optimization problem
• An Inner-Outer Approximation Approach to Chance Constrained Optimization
• Frameworks and results in distributionally robust optimization
• Sparse and constrained stochastic predictive control for networked systems
• Wait-and-judge scenario optimization

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