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Ambiguous chance constrained problems and robust optimization · Study

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ArticleAmbiguous chance constrained problems and robust optimization

Garud Iyengar2005

OA

Articlegreen2005

Ambiguous chance constrained problems and robust optimization

303 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Probabilistic and Robust Engineering Design

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References

1999Coherent Measures of Risk 1989Maxmin expected utility with non-unique prior 1959Chance-Constrained Programming 1998Robust Convex Optimization 2010Stochastic Programming 1999Robust solutions of uncertain linear programs 2002Convex measures of risk and trading constraints 2001Robust Control and Model Uncertainty

Cited by

2007A Linear Decision-Based Approximation Approach to Stochastic Programming 2012Kullback-Leibler divergence constrained distributionally robust optimization 2007Stochastic programming approach to optimization under uncertainty 2011Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach 2015Data-Driven Stochastic Programming Using Phi-Divergences 2013Robust multiobjective optimization & applications in portfolio optimization 2013

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2011Theory and Applications of Robust Optimizationarticle · 8 shared references 2006Model Uncertainty, Robust Optimization, and Learningchapter · 8 shared references 2008Robust Multi-Product Pricingpreprint · 7 shared references 2022Frameworks and Results in Distributionally Robust Optimizationarticle · 6 shared references 2006On Complexity of Stochastic Programming Problemschapter · 6 shared references 2009Constructing Risk Measures from Uncertainty Setsarticle · 6 shared references

Details

Year2005

Typearticle

Published2005-12-30

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations303

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-005-0678-0

openalex_workW2006041100

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A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support

2007Ambiguous Risk Measures and Optimal Robust Portfolios