Name
Abstract | ||
|---|---|---|
We review and develop different tractable approximations to individual chance-constrained problems in robust optimization on a variety of uncertainty sets and show their interesting connections with bounds on the conditional-value-at-risk (CVaR) measure. We extend the idea to joint chance-constrained problems and provide a new formulation that improves upon the standard approach. Our approach builds on a classical worst-case bound for order statistics problems and is applicable even if the constraints are correlated. We provide an application of the model on a network resource allocation problem with uncertain demand. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1287/opre.1090.0712 | Operations Research |
Keywords | Field | DocType |
individual chance-constrained problem,joint chance-constrained optimization,new formulation,uncertainty set,different tractable approximation,standard approach,uncertain demand,joint chance-constrained problem,robust optimization,order statistics problem,interesting connection,network resource allocation problem,order statistic,stochastic,conditional value at risk,risk,resource allocation,application,decision analysis,nonlinear,probability,programming,constrained optimization | Mathematical optimization,Robust optimization,Nonlinear programming,Resource allocation,Risk management,Order statistic,Stochastic programming,Mathematics,Operations management,CVAR,Constrained optimization | Journal |
Volume | Issue | ISSN |
58 | 2 | 0030-364X |
Citations | PageRank | References |
71 | 2.45 | 19 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Wenqing Chen | 1 | 89 | 3.90 |
| Melvyn Sim | 2 | 1909 | 117.68 |
| Jie Sun | 3 | 1303 | 113.30 |
| Chung-Piaw Teo | 4 | 864 | 69.27 |