On distributionally robust chance constrained programs with Wasserstein distance

2019/11/13 by Weijun Xie · 7 citations
Decision Sciences · Engineering · Mathematics · #Risk and Portfolio Optimization #Optimization and Mathematical Programming #Fuzzy Systems and Optimization

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

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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• On Solving Chance-Constrained Models with Gaussian Mixture Distribution
• Tutorials on Advanced Optimization Methods
• Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming
• Wasserstein Distributionally Robust Optimization: Theory and\n Applications in Machine Learning
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• Building Load Control using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants