Distributionally robust chance constrained problem under interval distribution information

DOI10.1007/s11590-017-1160-7zbMath1396.90062OpenAlexW2622294357MaRDI QIDQ1670537

Ming-hui Wang, Ke-wei Ding, Nan-Jing Huang

Publication date: 5 September 2018

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-017-1160-7

zbMATH Keywords

convex programmingrobust optimizationchance constraintinterval distribution information

Mathematics Subject Classification ID

Convex programming (90C25) Nonconvex programming, global optimization (90C26)

Related Items (3)

Distributionally robust chance constrained problems under general moments information ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem ⋮ Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration

Cites Work

• Distributionally robust joint chance constraints with second-order moment information
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• Theory and Applications of Robust Optimization
• TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Lectures on Stochastic Programming
• Some NP-complete problems in quadratic and nonlinear programming
• Optimization Under Probabilistic Envelope Constraints
• Convex Approximations of Chance Constrained Programs
• Distributionally robust chance constraints for non-linear uncertainties

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