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Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach
15 references·12 citing·31 second hop
Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach (2011)Sequential Convex Approximations to Joint…ON PROBABILISTIC CONSTRAINED PROGRAMMING (2015)ON PROBABILISTIC CONSTRAINED …Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization (2009)From CVaR to Uncertainty Set:…A Sample Approximation Approach for Optimization with Probabilistic Constraints (2008)A Sample Approximation Approa…Convex Approximations of Chance Constrained Programs (2006)Convex Approximations of Chan…Ambiguous chance constrained problems and robust optimization (2005)Ambiguous chance constrained …Uncertain convex programs: randomized solutions and confidence levels (2004)Uncertain convex programs: ra…The Price of Robustness (2004)The Price of RobustnessSome Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust solutions of Linear Pr…Probabilistic constrained optimization : methodology and applications (2000)Probabilistic constrained opt…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…Chance Constrained Programming with Joint Constraints (1965)Chance Constrained Programmin…Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness (2022)Chance-constrained optimizati…Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation (2020)Solving Chance-Constrained Pr…Learning-Based Robust Optimization: Procedures and Statistical Guarantees (2020)Learning-Based Robust Optimiz…A New Approach to Solve Uncertain Multidisciplinary Design Optimization Based on Conditional Value at Risk (2020)A New Approach to Solve Uncer…Supply chain network design considering carbon footprint, water footprint, supplier’s social risk, solid waste, and service level under the uncertain condition (2019)Supply chain network design c…Incorporating risk aversion and fairness considerations into procurement and distribution decisions in a supply chain (2019)Incorporating risk aversion a…Minimum cost consensus models based on random opinions (2017)Minimum cost consensus models…An Inner-Outer Approximation Approach to Chance Constrained Optimization (2017)An Inner-Outer Approximation …Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Monte Carlo Methods for Value…FAST—Fast Algorithm for the Scenario Technique (2014)FAST—Fast Algorithm for the S…A tractable approximation of non-convex chance constrained optimization with non-Gaussian uncertainties (2014)A tractable approximation of …A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support (2013)A branch-and-cut decompositio…Coherent Measures of Risk (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)A Stochastic Approximation Method (1951)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Robust Convex Optimization (1998)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)Chance-Constrained Programming (1959)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Nonlinear and Dynamic Programming (1966)Optimization with Stochastic Dominance Constraints (2003)Stochastic Programming Models (2003)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)Robust Optimization of Large-Scale Systems (1995)The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs (2008)A practical guide to robust optimization (2015)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications (2009)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Distributionally robust joint chance constraints with second-order moment information (2011)Data-driven robust optimization (2017)Theory and Applications of Robust Optimization (2010)A Guide to Sample Average Approximation (2014)
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2004The Price of Robustness4,620 cited
  • 2000Robust solutions of Linear Programming problems contaminated with uncertain data1,745 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 2009Lectures on Stochastic Programming1,419 cited
  • 2006Convex Approximations of Chance Constrained Programs1,163 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2004Uncertain convex programs: randomized solutions and confidence levels660 cited
  • 2008A Sample Approximation Approach for Optimization with Probabilistic Constraints615 cited
  • 1965Chance Constrained Programming with Joint Constraints456 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 2009From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization318 cited
  • 2005Ambiguous chance constrained problems and robust optimization303 cited
  • 2000Probabilistic constrained optimization : methodology and applications257 cited
  • 2015ON PROBABILISTIC CONSTRAINED PROGRAMMING225 cited

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Cited by

  • 2013A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support165 cited
  • 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited
  • 2017Minimum cost consensus models based on random opinions81 cited
  • 2020Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation76 cited
  • 2020Learning-Based Robust Optimization: Procedures and Statistical Guarantees73 cited
  • 2017An Inner-Outer Approximation Approach to Chance Constrained Optimization70 cited
  • 2022Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness59 cited
  • 2014FAST—Fast Algorithm for the Scenario Technique50 cited
  • 2019Supply chain network design considering carbon footprint, water footprint, supplier’s social risk, solid waste, and service level under the uncertain condition47 cited
  • 2014A tractable approximation of non-convex chance constrained optimization with non-Gaussian uncertainties42 cited
  • 2019Incorporating risk aversion and fairness considerations into procurement and distribution decisions in a supply chain40 cited
  • 2020A New Approach to Solve Uncertain Multidisciplinary Design Optimization Based on Conditional Value at Risk38 cited