ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs (Q5060524)

scientific article; zbMATH DE number 7640311

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English	ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs	scientific article; zbMATH DE number 7640311

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instance of

scholarly article

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title

ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs (English)

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10 January 2023

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full work available at URL

https://arxiv.org/abs/2012.04763

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zbMATH Keywords

chance constraint

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CVaR

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distributionally robust

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bilevel optimization

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MaRDI profile type

MaRDI publication profile

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cites work

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Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach

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Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009

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Data-driven distributionally robust chance-constrained optimization with Wasserstein metric

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VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

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A Stochastic Programming Model

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Tail Conditional Expectations for Elliptical Distributions

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An integer programming approach for linear programs with probabilistic constraints

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Chance-Constrained Binary Packing Problems

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Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions

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Identifiers

DOI

10.1287/opre.2021.2225

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5060524