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Scenario Approximations of Chance Constraints · Study

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ChapterScenario Approximations of Chance Constraints

Arkadi S. Nemirovski2006

Chapter2006

Scenario Approximations of Chance Constraints

Arkadi S. Nemirovski · Alexander Shapiro

196 citations·0/0 files stored·Springer eBooks

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Risk and Portfolio Optimization Advanced Control Systems Optimization Advanced Optimization Algorithms Research

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2003Monte Carlo Sampling Methods

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2016Wait-and-judge scenario optimization 2011On safe tractable approximations of chance constraints 2012Advances and applications of chance-constrained approaches to systems optimisation under uncertainty 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk 2019Optimized Bonferroni approximations of distributionally robust joint chance constraints 2010IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation 2019Risk and complexity in scenario optimization 2020Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation

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2007Bayesian Analysis of DSGE Modelsarticle · 1 shared reference 2009Sample Average Approximation Method for Chance Constrained Programming: Theory and Applicationsarticle · 1 shared reference 2022Frameworks and Results in Distributionally Robust Optimizationarticle · 1 shared reference 2002Proceedings of the 2002 Winter Simulation Conferenceother · 1 shared reference 2010A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimalityarticle · 1 shared reference 2019Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learningchapter · 1 shared reference

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Year2006

Typechapter

Published2006-03-04

VenueSpringer eBooks

Languageen

Citations196

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/1-84628-095-8_1

openalex_workW88909337

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