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ArticleDistributionally robust chance constraints for non-linear uncertainties

Wenzhuo Yang2014

Article2014

Distributionally robust chance constraints for non-linear uncertainties

Wenzhuo Yang · Huan Xu

62 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Advanced Control Systems Optimization Advanced Optimization Algorithms Research

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References

1973The Pricing of Options and Corporate Liabilities 1965The Behavior of Stock-Market Prices 2004The Price of Robustness 2001Empirical properties of asset returns: stylized facts and statistical issues 2009Robust Optimization 1959Chance-Constrained Programming 1998Robust Convex Optimization 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

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2022Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness 2020A survey of nonlinear robust optimization 2019Data-Driven Chance Constrained Programs over Wasserstein Balls

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2012Optimization Under Probabilistic Envelope Constraintsarticle · 18 shared references 2022Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustnessarticle · 14 shared references 2021Distributionally Robust Optimization: A review on theory and applicationsarticle · 13 shared references 2020Learning-Based Robust Optimization: Procedures and Statistical Guaranteesarticle · 13 shared references 2017Ambiguous Joint Chance Constraints Under Mean and Dispersion Informationarticle · 12 shared references 2022Frameworks and Results in Distributionally Robust Optimizationarticle · 11 shared references

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Year2014

Typearticle

Published2014-11-19

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations62

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-014-0842-5

openalex_workW1983609582

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