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A Computational Study of the Buffered Failure Probability in Reliability-Based Design Optimization
16 references·0 citing·36 second hop
A Computational Study of the Buffered Failure Probability in Reliability-Based Design Optimization (2011)A Computational Study of the Buffered Fai…Fast gradient descent method for Mean-CVaR optimization (2013)Fast gradient descent method …On solving the dual for portfolio selection by optimizing Conditional Value at Risk (2010)On solving the dual for portf…On buffered failure probability in design and optimization of structures (2010)On buffered failure probabili…Reliability-Based Design Optimization Using Efficient Global Reliability Analysis (2009)Reliability-Based Design Opti…Lectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset (2009)A smoothing method for solvin…Sample average approximation of expected value constrained stochastic programs (2008)Sample average approximation …Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization (2008)Portfolio optimization by min…Handling CVaR objectives and constraints in two-stage stochastic models (2007)Handling CVaR objectives and …Coherent Approaches to Risk in Optimization Under Uncertainty (2007)Coherent Approaches to Risk i…Minimizing CVaR and VaR for a portfolio of derivatives (2005)Minimizing CVaR and VaR for a…Computational aspects of minimizing conditional value-at-risk (2005)Computational aspects of mini…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Some Basic Principles of Reliability-Based Optimization (RBO) of Structures and Mechanical Components (1998)Some Basic Principles of Reli…Structural Reliability Methods (1996)Structural Reliability MethodsA Stochastic Approximation Method (1951)Coherent Measures of Risk (1999)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)Solving two-stage stochastic programming problems with level decomposition (2006)Introduction to Stochastic Programming (2011)Mean–CVaR portfolio selection: A nonparametric estimation framework (2012)Optimization with Multivariate Conditional Value-at-Risk Constraints (2013)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)New Formulations for Optimization under Stochastic Dominance Constraints (2008)Stochastic Programming (2010)Advances and applications of chance-constrained approaches to systems optimisation under uncertainty (2012)Conditional value‐at‐risk beyond finance: a survey (2019)Simulation and the Monte Carlo Method (2007)Engineering Decisions under Risk Averseness (2015)Probability Concepts in Engineering Planning and Design (1975)Structural reliability under combined random load sequences (1978)Global sensitivity analysis using polynomial chaos expansions (2007)Aleatory or epistemic? Does it matter? (2008)AK-MCS: An active learning reliability method combining Kriging and Monte Carlo Simulation (2011)PORTFOLIO SELECTION* (1952)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)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)The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013)Data-Driven Stochastic Programming Using Phi-Divergences (2015)A chance-constrained two-stage stochastic programming model for humanitarian relief network design (2017)Processing second-order stochastic dominance models using cutting-plane representations (2009)Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization (2019)Modeling and optimization of risk (2010)Reverse logistics network design and planning utilizing conditional value at risk (2014)Assessment of pre and post-disaster supply chain resilience based on network structural parameters with CVaR as a risk measure (2020)
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References

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  • 1998Some Basic Principles of Reliability-Based Optimization (RBO) of Structures and Mechanical Components42 cited
  • 2013

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Fast gradient descent method for Mean-CVaR optimization
38 cited
  • 2010On solving the dual for portfolio selection by optimizing Conditional Value at Risk37 cited
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