Safe approximations for distributionally robust joint chance constrained program

DOI10.1142/S0217595915400047MaRDI QIDQ5245838zbMATH OpenOpenAlexFDO

Authors Chenchen Wu, Dachuan Xu, Jiawei Zhang

Publication date 15 April 2015

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0217595915400047

zbMATH Keywords

second-order cone programmingsemi-definite programmingdistributionally robust optimizationchance constrained programsafe approximation

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Approximation methods and heuristics in mathematical programming (90C59) Semidefinite programming (90C22)

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Cites work

• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• A model for dynamic chance constraints in hydro power reservoir management
• Ambiguous chance constrained problems and robust optimization
• Convex Approximations of Chance Constrained Programs
• Distributionally robust joint chance constraints with second-order moment information
• From CVaR to uncertainty set: implications in joint chance-constrained optimization
• On distributionally robust chance-constrained linear programs
• On optimal regulation of a storage level with application to the water level regulation of a lake
• The Scenario Approach to Robust Control Design

Cited in

(6)

• A sparse enhanced indexation model with chance and cardinality constraints
• A second-order cone programming approximation to joint chance-constrained linear programs
• Distributionally robust chance constrained problems under general moments information
• On safe tractable approximations of chance constraints
• A distributionally robust optimization model for batch nonlinear switched time-delay system considering uncertain output measurements
• Application of a distributionally robust optimization approach for single-period stochastic inventory problems with different carbon policies

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