Probabilistic guarantees in robust optimization

DOI10.1137/21M1390967zbMATH Open1481.90238WikidataQ120689956 ScholiaQ120689956MaRDI QIDQ5013583FDOQ5013583

Authors: D. Den Hertog, Jean Pauphilet, Dimitris Bertsimas 

Publication date: 1 December 2021

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Recommendations

• Robust linear optimization under general norms.
• Robust linear programming with norm uncertainty
• Optimization under probabilistic envelope constraints
• Recent advances in robust optimization
• Robust convex optimization

zbMATH Keywords

concentration inequalityrobust optimizationsupport functionuncertainty set

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Robustness in mathematical programming (90C17)

Cites Work

• High-dimensional statistics. A non-asymptotic viewpoint
• Title not available (Why is that?)
• Recent advances in robust optimization: an overview
• From CVaR to uncertainty set: implications in joint chance-constrained optimization
• Theory and applications of robust optimization
• Robust optimization
• The Price of Robustness
• An exact algorithm for the capacitated facility location problems with single sourcing
• Robust solutions of linear programming problems contaminated with uncertain data
• Uncertain convex programs: randomized solutions and confidence levels
• Distributionally robust joint chance constraints with second-order moment information
• Ambiguous chance constrained problems and robust optimization
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• Optimization under probabilistic envelope constraints
• The Scenario Approach to Robust Control Design
• Robust linear optimization under general norms.
• Distributionally robust optimization and its tractable approximations
• Rates of convergence for random approximations of convex sets
• The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
• Multivariate Chebyshev Inequalities
• Percentile Optimization for Markov Decision Processes with Parameter Uncertainty
• On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
• Scenario approximations of chance constraints
• Worst-case violation of sampled convex programs for optimization with uncertainty
• Tractable approximations to robust conic optimization problems
• Data-driven robust optimization
• Deriving robust counterparts of nonlinear uncertain inequalities
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Ambiguous joint chance constraints under mean and dispersion information
• A distributionally robust perspective on uncertainty quantification and chance constrained programming
• Computing the maximum volume inscribed ellipsoid of a polytopic projection
• Distributionally robust chance constraints for non-linear uncertainties
• On distributionally robust chance constrained programs with Wasserstein distance
• Title not available (Why is that?)

Cited In (6)

• A relaxation algorithm with a probabilistic guarantee for robust deviation optimization
• A robust optimization approach with probe-able uncertainty
• Ambiguous chance constrained problems and robust optimization
• Robust approximation of chance constrained optimization with polynomial perturbation
• Data-driven robust optimization using deep neural networks
• Robust convex optimization: a new perspective that unifies and extends

Uses Software

• ROME

This page was built for publication: Probabilistic guarantees in robust optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5013583)