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Chance constrained 0–1 quadratic programs using copulas
7 references·0 citing·26 second hop
Chance constrained 0–1 quadratic programs using copulas (2015)Chance constrained 0–1 quadratic programs…A second-order cone programming approach for linear programs with joint probabilistic constraints (2012)A second-order cone programmi…Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae (2011)Convexity of Chance Constrain…4. Optimization Models with Probabilistic Constraints (2009)4. Optimization Models with P…Risk and Reliability Analysis (2007)Risk and Reliability AnalysisOptimization Models with Probabilistic Constraints (2006)Optimization Models with Prob…An Introduction to Copulas (1999)An Introduction to CopulasStochastic Programming (1995)Stochastic ProgrammingStochastic Programming (2010)Eventual convexity of chance constrained feasible sets (2013)Eventual convexity of probability constraints with elliptical distributions (2018)ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs (2022)On The Quantitative Definition of Risk (1981)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Multivariate Extreme Value Methods (2012)Finite-Element Reliability Analysis of Structures Subjected to Fire (2014)ENHANCEMENT OF BID DECISION-MAKING IN CONSTRUCTION PROJECTS: A RELIABILITY ANALYSIS APPROACH (2021)Chance Constrained Programming with Joint Constraints (1965)An integer programming approach for linear programs with probabilistic constraints (2008)ON PROBABILISTIC CONSTRAINED PROGRAMMING (2015)Existence of Nash equilibrium for chance-constrained games (2016)Partial sample average approximation method for chance constrained problems (2018)Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness (2022)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Multivariate GARCH models: a survey (2006)Introductory Econometrics for Finance (2008)The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs (2008)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)Frameworks and Results in Distributionally Robust Optimization (2022)(Sub-)Differentiability of Probability Functions with Elliptical Distributions (2017)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)Theory and Applications of Robust Optimization (2011)
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References

  • 1999An Introduction to Copulas7,812 cited
  • 1995Stochastic Programming1,545 cited
  • 2007Risk and Reliability Analysis123 cited
  • 2012A second-order cone programming approach for linear programs with joint probabilistic constraints77 cited
  • 2006Optimization Models with Probabilistic Constraints61 cited
  • 2011Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae40 cited
  • 20094. Optimization Models with Probabilistic Constraints26 cited

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