Distributionally robust joint chance constraints with second-order moment information

Robust Optimization Made Easy with ROME

(2011) Joel Goh et al.   OPERATIONS RESEARCH

A model for dynamic chance constraints in hydro power reservoir management

(2010) L. Andrieu et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

(2010) Dimitris Bertsimas et al.   MATHEMATICS OF OPERATIONS RESEARCH

Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

(2010) Erick Delage et al.   OPERATIONS RESEARCH

Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications

(2009) B. K. Pagnoncelli et al.   JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

Primal and dual linear decision rules in stochastic and robust optimization

(2009) Daniel Kuhn et al.   MATHEMATICAL PROGRAMMING

Constructing Risk Measures from Uncertainty Sets

(2009) Karthik Natarajan et al.   OPERATIONS RESEARCH

From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization

(2009) Wenqing Chen et al.   OPERATIONS RESEARCH

A Sample Approximation Approach for Optimization with Probabilistic Constraints

(2008) James Luedtke et al.   SIAM JOURNAL ON OPTIMIZATION

Parameter estimation with expected and residual-at-risk criteria

(2008) Giuseppe Calafiore et al.   SYSTEMS & CONTROL LETTERS