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A Discussion of Probability Functions and Constraints from a Variational Perspective · Study

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ArticleA Discussion of Probability Functions and Constraints from a Variational Perspective

Wim Stefanus van Ackooij2020

Article2020

A Discussion of Probability Functions and Constraints from a Variational Perspective

Wim Stefanus van Ackooij

29 citations·0/0 files stored·Set-Valued and Variational Analysis

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Risk and Portfolio Optimization Optimization and Variational Analysis Advanced Optimization Algorithms Research

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References

2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations 1995Stochastic Programming 2009Lectures on Stochastic Programming 2014Distributionally Robust Convex Optimization 2010Stochastic Linear Programming 2011Distributionally robust joint chance constraints with second-order moment information 2008A Sample Approximation Approach for Optimization with Probabilistic Constraints 2003Tail Conditional Expectations for Elliptical Distributions

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Year2020

Typearticle

Published2020-09-05

VenueSet-Valued and Variational Analysis

ISSN-L1877-0533

Languageen

Citations29

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11228-020-00552-2

openalex_workW3083323082

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