Distributionally robust joint chance-constrained programming with Wasserstein metric

Cites Work

The pricing of options and corporate liabilities
Short sales in log-robust portfolio management
On general minimax theorems
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
Distributionally robust joint chance constraints with second-order moment information
Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
Quantitative stability analysis for minimax distributionally robust risk optimization
Optimized Bonferroni approximations of distributionally robust joint chance constraints
On distributionally robust chance constrained programs with Wasserstein distance
A distributionally robust perspective on uncertainty quantification and chance constrained programming
On distributionally robust chance-constrained linear programs
Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
On duality theory of conic linear problems.
Distributionally Robust Stochastic Knapsack Problem
Chance-Constrained Binary Packing Problems
Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
Ambiguous Joint Chance Constraints Under Mean and Dispersion Information
On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems
Minimax analysis of stochastic problems
A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization
Convex Approximations of Chance Constrained Programs
Convergence Analysis for Mathematical Programs with Distributionally Robust Chance Constraint
Distributionally robust chance constraints for non-linear uncertainties

This page was built for publication: Distributionally robust joint chance-constrained programming with Wasserstein metric

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6585823)