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On Distributionally Robust Chance-Constrained Linear Programs · Study

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ArticleOn Distributionally Robust Chance-Constrained Linear Programs

Giuseppe C. Calafiore2006

Article2006

On Distributionally Robust Chance-Constrained Linear Programs

Giuseppe C. Calafiore · Laurent El Ghaoui

509 citations·0/0 files stored·Journal of Optimization Theory and Applications

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Risk and Portfolio Optimization Stability and Control of Uncertain Systems Advanced Optimization Algorithms Research

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References

1999Robust solutions of uncertain linear programs 1995Stochastic Programming 1963Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited by

2022Frameworks and Results in Distributionally Robust Optimization 2015Data-driven chance constrained stochastic program 2019Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning 2019Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming 2018Data-driven risk-averse stochastic optimization with Wasserstein metric 2009From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization 2010Random Convex Programs 2019On distributionally robust chance constrained programs with Wasserstein distance

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2015Data-driven chance constrained stochastic programarticle · 3 shared references 2007Selected topics in robust convex optimizationarticle · 3 shared references 2007A Robust Optimization Perspective on Stochastic Programmingarticle · 3 shared references 2009From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimizationarticle · 3 shared references 2009Cutting-set methods for robust convex optimization with pessimizing oraclesarticle · 3 shared references 2014A Branch-and-Cut Method for Dynamic Decision Making Under Joint Chance Constraintsarticle · 3 shared references

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Year2006

Typearticle

Published2006-11-30

VenueJournal of Optimization Theory and Applications

ISSN-L0022-3239

Languageen

Citations509

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10957-006-9084-x

openalex_workW1967729795

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