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Optimization under Rare Chance Constraints
16 references·0 citing·41 second hop
Optimization under Rare Chance Constraints (2022)Optimization under Rare Chance Constraints“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach (2011)Sequential Convex Approximati…A survey on approaches for reliability-based optimization (2010)A survey on approaches for re…Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications (2009)Sample Average Approximation …Lectures on Stochastic Programming (2009)Lectures on Stochastic Progra…Benchmark study of numerical methods for reliability-based design optimization (2009)Benchmark study of numerical …An integer programming approach for linear programs with probabilistic constraints (2008)An integer programming approa…A Sample Approximation Approach for Optimization with Probabilistic Constraints (2008)A Sample Approximation Approa…Scenario Approximations of Chance Constraints (2006)Scenario Approximations of Ch…Convex Approximations of Chance Constrained Programs (2006)Convex Approximations of Chan…Uncertain convex programs: randomized solutions and confidence levels (2004)Uncertain convex programs: ra…Introduction to Rare Event Simulation (2004)Introduction to Rare Event Si…Optimization of computer simulation models with rare events (1997)Optimization of computer simu…Inverse Reliability Problem (1994)Inverse Reliability ProblemA critical appraisal of methods to determine failure probabilities (1987)A critical appraisal of metho…Methods of Reducing Sample Size in Monte Carlo Computations (1953)Methods of Reducing Sample Si…Adaptive Importance Sampling (1990)Proceedings of the 2002 Winter Simulation Conference (2002)Rare Event Simulation using Monte Carlo Methods (2009)The future of risk assessment (2018)Applied Probability and Queues (1987)Acceleration of Stochastic Approximation by Averaging (1992)Fast simulation of rare events in queueing and reliability models (1995)Simulation optimization: A comprehensive review on theory and applications (2004)Proceedings of the 2017 Winter Simulation Conference (2017)Exact and Invariant Second-Moment Code Format (1974)A New Study on Reliability-Based Design Optimization (1999)Sequential Optimization and Reliability Assessment Method for Efficient Probabilistic Design (2004)Reliability-based design optimization using kriging surrogates and subset simulation (2011)Surrogate-assisted reliability-based design optimization: a survey and a unified modular framework (2019)Narrow Reliability Bounds for Structural Systems (1979)Simulation and the Monte Carlo Method (1981)A new learning function for Kriging and its applications to solve reliability problems in engineering (2015)MCMC algorithms for Subset Simulation (2015)Simulation and the Monte Carlo Method (2016)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)The Price of Robustness (2004)Theory and Applications of Robust Optimization (2011)Frameworks and Results in Distributionally Robust Optimization (2022)Chance-Constrained Programming (1959)Robust Optimization of Large-Scale Systems (1995)Robust Convex Optimization (1998)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Distributionally robust joint chance constraints with second-order moment information (2011)Simulation Modeling and Analysis. (1983)Stochastic Programming (1995)Stochastic Programming (2010)Monte Carlo sampling-based methods for stochastic optimization (2014)Data-driven chance constrained stochastic program (2015)A Stochastic Approximation Method (1951)The Big Data Newsvendor: Practical Insights from Machine Learning (2018)Theory of games and economic behavior (2019)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)
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References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2009Lectures on Stochastic Programming2,556 cited
  • 2006Convex Approximations of Chance Constrained Programs1,163 cited
  • 1997Optimization of computer simulation models with rare events686 cited
  • 2004Uncertain convex programs: randomized solutions and confidence levels660 cited
  • 2008A Sample Approximation Approach for Optimization with Probabilistic Constraints615 cited
  • 2009Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications524 cited
  • 2004Introduction to Rare Event Simulation517 cited
  • 2009Benchmark study of numerical methods for reliability-based design optimization453 cited
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  • 2010A survey on approaches for reliability-based optimization401 cited
  • 2008An integer programming approach for linear programs with probabilistic constraints351 cited
  • 1953Methods of Reducing Sample Size in Monte Carlo Computations329 cited
  • 2006Scenario Approximations of Chance Constraints196 cited
  • 2011Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach

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191 cited
  • 1994Inverse Reliability Problem179 cited
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