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Data-driven chance constrained stochastic program · Study

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ArticleData-driven chance constrained stochastic program

Ruiwei Jiang2015

Article2015

Data-driven chance constrained stochastic program

Ruiwei Jiang · Yongpei Guan

488 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Probabilistic and Robust Engineering Design Fuzzy Systems and Optimization

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References

2000Optimization of conditional value-at-risk 2011Introduction to Stochastic Programming 2004The Price of Robustness 2010Stochastic Programming 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems 2000Robust solutions of Linear Programming problems contaminated with uncertain data 2009Lectures on Stochastic Programming: Modeling and Theory 1995Stochastic Programming

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2019Quantifying Distributional Model Risk via Optimal Transport 2019Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming 2018Data-driven risk-averse stochastic optimization with Wasserstein metric 2019On distributionally robust chance constrained programs with Wasserstein distance 2017Robust sample average approximation 2012Kullback-Leibler divergence constrained distributionally robust optimization

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Details

Year2015

Typearticle

Published2015-07-04

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations488

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-015-0929-7

openalex_workW760153864

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2017Data-driven robust optimization based on kernel learning

2021Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach