On distributionally robust chance constrained programs with Wasserstein distance

Optimized Bonferroni approximations of distributionally robust joint chance constraints

(2019) Weijun Xie et al.   MATHEMATICAL PROGRAMMING

Distributionally Robust Chance-Constrained Approximate AC-OPF with Wasserstein Metric

(2018) Chao Duan et al.   IEEE TRANSACTIONS ON POWER SYSTEMS

Distributionally Robust Chance Constrained Optimal Power Flow with Renewables: A Conic Reformulation

(2018) Weijun Xie et al.   IEEE TRANSACTIONS ON POWER SYSTEMS

Stochastic dual dynamic integer programming

(2018) Jikai Zou et al.   MATHEMATICAL PROGRAMMING

Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls

(2018) Grani A. Hanasusanto et al.   OPERATIONS RESEARCH

On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems

(2018) Weijun Xie et al.   SIAM JOURNAL ON OPTIMIZATION

Ambiguous risk constraints with moment and unimodality information

(2017) Bowen Li et al.   MATHEMATICAL PROGRAMMING

Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

(2017) Peyman Mohajerin Esfahani et al.   MATHEMATICAL PROGRAMMING

Ambiguous Joint Chance Constraints Under Mean and Dispersion Information

(2017) Grani A. Hanasusanto et al.   OPERATIONS RESEARCH

Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs

(2016) Shabbir Ahmed et al.   MATHEMATICAL PROGRAMMING

A distributionally robust perspective on uncertainty quantification and chance constrained programming

(2015) Grani A. Hanasusanto et al.   MATHEMATICAL PROGRAMMING

Data-driven chance constrained stochastic program

(2015) Ruiwei Jiang et al.   MATHEMATICAL PROGRAMMING

Distributionally robust chance constraints for non-linear uncertainties

(2014) Wenzhuo Yang et al.   MATHEMATICAL PROGRAMMING

On the rate of convergence in Wasserstein distance of the empirical measure

(2014) Nicolas Fournier et al.   PROBABILITY THEORY AND RELATED FIELDS

Distributionally Robust Stochastic Knapsack Problem

(2014) Jianqiang Cheng et al.   SIAM JOURNAL ON OPTIMIZATION

Distributionally robust joint chance constraints with second-order moment information

(2011) Steve Zymler et al.   MATHEMATICAL PROGRAMMING

The scenario approach for systems and control design

(2009) Marco C. Campi et al.   ANNUAL REVIEWS IN CONTROL

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

(2009) Wenqing Chen et al.   OPERATIONS RESEARCH

Polymatroids and mean-risk minimization in discrete optimization

(2008) Alper Atamtürk et al.   OPERATIONS RESEARCH LETTERS

A Sample Approximation Approach for Optimization with Probabilistic Constraints

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