The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.
From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
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.
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Cites
Rockafellar, R. T. (1970) · Princeton University Press eBooks · doi:10.1515/9781400873173 · Cited by 10,801
Optimization of conditional value-at-risk
Rockafellar, R. T., & Uryasev, S. (2000) · The Journal of Risk · doi:10.21314/jor.2000.038 · Cited by 6,725
Bertsimas, D., & Sim, M. (2004) · Operations Research · doi:10.1287/opre.1030.0065 · Cited by 4,557
Self-citationBen-Tal, A., & Nemirovski, A. (1998) · Mathematics of Operations Research · doi:10.1287/moor.23.4.769 · Cited by 2,598
Robust solutions of uncertain linear programs
Ben-Tal, A., & Nemirovski, A. (1999) · Operations Research Letters · doi:10.1016/s0167-6377(99)00016-4 · Cited by 1,829
Soyster, A. L. (1973) · Operations Research · doi:10.1287/opre.21.5.1154 · Cited by 1,822
Robust solutions of Linear Programming problems contaminated with uncertain data
Ben-Tal, A., & Nemirovski, A. (2000) · Mathematical Programming · doi:10.1007/pl00011380 · Cited by 1,744
Prékopa, A. (1995) · Springer eBooks · doi:10.1007/978-94-017-3087-7 · Cited by 1,535
Alizadeh, F., & Goldfarb, D. (2003) · Mathematical Programming · doi:10.1007/s10107-002-0339-5 · Cited by 1,500
Adjustable robust solutions of uncertain linear programs
Ben-Tal, A., Goryashko, A., Guslitzer, E., & Nemirovski, A. (2004) · Mathematical Programming · doi:10.1007/s10107-003-0454-y · Cited by 1,380
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Infrastructure planning for electric vehicles with battery swapping
Mak, H.-Y., Rong, Y., & Shen, Z.-J. M. (2013) · Management Science · doi:10.1287/mnsc.1120.1672 · Cited by 570
Data-driven chance constrained stochastic program
Jiang, R., & Guan, Y. (2016) · Mathematical Programming · doi:10.1007/s10107-015-0929-7 · Cited by 485
Choice of supply chain governance: Self-managing or outsourcing?
Lu, Q., Meng, F., & Goh, M. (2014) · International Journal of Production Economics · doi:10.1016/j.ijpe.2014.03.022 · Cited by 34
Metadata
- Authors
- Chen, W., Sim, M., Sun, J., & Teo, C.-P.
- Venue
- Operations Research
- Published
- 2010-04
- Volume
- 58
- Issue
- 2
- Pages
- 470-485
- ISSN
- 0030-364X (ISSN-L)
- 1526-5463
- OpenAlex
- W2096011304
- Cited by
- 318
- References
- 31
- FWCI
- 11.28
- Type
- journal article
- Language
- en
- Open access
- closed
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