Safe Approximations for Distributionally Robust Joint Chance Constrained Program

DOI10.1142/S0217595915400047zbMath1311.90095OpenAlexW2013122837MaRDI QIDQ5245838

Da-Chuan Xu, Chen-Chen Wu, Jia-Wei Zhang

Publication date: 15 April 2015

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0217595915400047

zbMATH Keywords

semi-definite programmingsecond-order cone programmingdistributionally robust optimizationchance constrained programsafe approximation

Mathematics Subject Classification ID

Semidefinite programming (90C22) Optimality conditions and duality in mathematical programming (90C46) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (2)

A distributionally robust optimization model for batch nonlinear switched time-delay system considering uncertain output measurements ⋮ A sparse enhanced indexation model with chance and cardinality constraints

Cites Work

• A model for dynamic chance constraints in hydro power reservoir management
• On optimal regulation of a storage level with application to the water level regulation of a lake
• Distributionally robust joint chance constraints with second-order moment information
• On distributionally robust chance-constrained linear programs
• Ambiguous chance constrained problems and robust optimization
• From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• The Scenario Approach to Robust Control Design
• Convex Approximations of Chance Constrained Programs

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