From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
نویسندگان
چکیده
منابع مشابه
From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
We review and develop different tractable approximations to individual chance constrained problems in robust optimization on a varieties 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...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2010
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1090.0712