\(\alpha \)-conservative approximation for probabilistically constrained convex programs
From MaRDI portal
Publication:969716
DOI10.1007/s10589-008-9178-5zbMath1189.90112MaRDI QIDQ969716
Publication date: 7 May 2010
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-008-9178-5
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimization on low rank nonconvex structures
- Robust solutions of linear programming problems contaminated with uncertain data
- Uncertain convex programs: randomized solutions and confidence levels
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Coherent Measures of Risk
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- The Price of Robustness
- On the global minimization of the value-at-risk
- Chance Constrained Programming with Joint Constraints
- Convex Approximations of Chance Constrained Programs
- Convex analysis and global optimization