On distributionally robust chance constrained programs with Wasserstein distance

2019/11/13 by Weijun Xie · 246 citations
Decision Sciences · Engineering · Mathematics · #Ambiguity #Applied mathematics #Binary number #Bounded function #Computer science #Discrete mathematics #Empirical distribution function #Expected value #Fuzzy Systems and Optimization #Integer (computer science) #Mathematical optimization #Mathematics #Optimization and Mathematical Programming #Probability distribution #Probability measure #Random variable #Risk and Portfolio Optimization #Robust optimization #Statistics #Submodular set function

paper · doi:10.1007/s10107-019-01445-5

published in Mathematical Programming 186(1-2), 115-155 (Springer Science+Business Media)

openalex publication_date 2019/11/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/03

Citations

• On Distributionally Robust Chance-Constrained Linear Programs
• A distributionally robust perspective on uncertainty quantification and chance constrained programming
• Distributionally robust joint chance constraints with second-order moment information
• Stochastic dual dynamic integer programming
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

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