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A distributionally robust perspective on uncertainty quantification and chance constrained programming
16 references·15 citing·24 second hop
A distributionally robust perspective on uncertainty quantification and chance constrained programming (2015)A distributionally robust perspective on …Data-driven robust optimization (2017)Data-driven robust optimizati…Data-driven chance constrained stochastic program (2015)Data-driven chance constraine…Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Robust Solutions of Optimizat…Robust Markov Decision Processes (2012)Robust Markov Decision Proces…Distributionally robust joint chance constraints with second-order moment information (2011)Distributionally robust joint…Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Robust Optimization (2009)Robust OptimizationFrom CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization (2009)From CVaR to Uncertainty Set:…Portfolio Selection With Robust Estimation (2007)Portfolio Selection With Robu…A Robust Optimization Perspective on Stochastic Programming (2007)A Robust Optimization Perspec…On Distributionally Robust Chance-Constrained Linear Programs (2006)On Distributionally Robust Ch…Convex Approximations of Chance Constrained Programs (2006)Convex Approximations of Chan…The Price of Robustness (2004)The Price of RobustnessWorst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust solutions of Linear Pr…Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness (2022)Chance-constrained optimizati…Distributionally Robust Optimization: A review on theory and applications (2021)Distributionally Robust Optim…Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity (2021)Distributionally robust chanc…Tractable reformulations of two-stage distributionally robust linear programs over the type- ∞ Wasserstein ball (2020)Tractable reformulations of t…Learning-Based Robust Optimization: Procedures and Statistical Guarantees (2020)Learning-Based Robust Optimiz…Data-Driven Optimization of Reward-Risk Ratio Measures (2020)Data-Driven Optimization of R…Risk and complexity in scenario optimization (2019)Risk and complexity in scenar…Optimized Bonferroni approximations of distributionally robust joint chance constraints (2019)Optimized Bonferroni approxim…Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information (2018)Robust Optimization with Ambi…On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems (2018)On Deterministic Reformulatio…Identifying effective scenarios in distributionally robust stochastic programs with total variation distance (2018)Identifying effective scenari…Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs (2018)Decomposition Algorithms for …Toward Machine Wald (2017)Toward Machine WaldAmbiguous Joint Chance Constraints Under Mean and Dispersion Information (2017)Ambiguous Joint Chance Constr…A Review on Ambiguity in Stochastic Portfolio Optimization (2017)A Review on Ambiguity in Stoc…Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)A practical guide to robust optimization (2015)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Optimization of conditional value-at-risk (2000)Robust sample average approximation (2017)Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Studies in Mathematical Theory of Inventory and Production (1959)Robust Convex Optimization (1998)Recent advances in robust optimization: An overview (2013)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Robust solutions of uncertain linear programs (1999)Robust optimization ? methodology and applications (2002)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Global Portfolio Optimization (1992)Martingale Methods in Financial Modelling (1997)Robust Portfolio Selection Problems (2003)Distributionally Robust Optimization and Its Tractable Approximations (2010)60 Years of portfolio optimization: Practical challenges and current trends (2013)Introduction to Stochastic Programming (2011)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)A Sample Approximation Approach for Optimization with Probabilistic Constraints (2008)Theory and Applications of Robust Optimization (2010)
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References

  • 2004The Price of Robustness4,620 cited
  • 2009Robust Optimization3,008 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2000Robust solutions of Linear Programming problems contaminated with uncertain data1,745 cited
  • 2006Convex Approximations of Chance Constrained Programs1,163 cited
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  • 2012Robust Markov Decision Processes312 cited
  • Cited by

    • 2021Distributionally Robust Optimization: A review on theory and applications141 cited
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    • 2019Optimized Bonferroni approximations of distributionally robust joint chance constraints84 cited
    • 2018Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information79 cited
    • 2018On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems77 cited
    • 2019Risk and complexity in scenario optimization77 cited
    • 2018Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs75 cited
    • 2020Learning-Based Robust Optimization: Procedures and Statistical Guarantees73 cited
    • 2018Identifying effective scenarios in distributionally robust stochastic programs with total variation distance63 cited
    • 2022Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness59 cited
    • 2021Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity55 cited
    • 2020Tractable reformulations of two-stage distributionally robust linear programs over the type- ∞ Wasserstein ball49 cited
    • 2020Data-Driven Optimization of Reward-Risk Ratio Measures42 cited
    • 2017A Review on Ambiguity in Stochastic Portfolio Optimization40 cited
    • 2017Toward Machine Wald36 cited