Convex Approximations of Chance Constrained Programs
暂无分享,去创建一个
[1] Aharon Ben-Tal,et al. Lectures on modern convex optimization , 1987 .
[2] A. Kaufmann,et al. Methods and models of operations research , 1963 .
[3] Arkadi Nemirovski,et al. Robust optimization – methodology and applications , 2002, Math. Program..
[4] Peter Kall,et al. Stochastic Programming , 1995 .
[5] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[6] Allen L. Soyster,et al. Technical Note - Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming , 1973, Oper. Res..
[7] Amir Dembo,et al. Large Deviations Techniques and Applications , 1998 .
[8] B. M. Fulk. MATH , 1992 .
[9] Alexander Shapiro,et al. The Sample Average Approximation Method for Stochastic Discrete Optimization , 2002, SIAM J. Optim..
[10] Melvyn Sim,et al. The Price of Robustness , 2004, Oper. Res..
[11] J. Dupacová. The minimax approach to stochastic programming and an illustrative application , 1987 .
[12] Xiang Li,et al. Probabilistically Constrained Linear Programs and Risk-Adjusted Controller Design , 2005, SIAM J. Optim..
[13] A. Charnes,et al. Cost Horizons and Certainty Equivalents: An Approach to Stochastic Programming of Heating Oil , 1958 .
[14] Kurt Marti. Duality in stochastic linear and dynamic programming , 1987 .
[15] Giuseppe Carlo Calafiore,et al. The scenario approach to robust control design , 2006, IEEE Transactions on Automatic Control.
[16] János D. Pintér,et al. Deterministic approximations of probability inequalities , 1989, ZOR Methods Model. Oper. Res..
[17] András Prékopa,et al. ON PROBABILISTIC CONSTRAINED PROGRAMMING , 2015 .
[18] Benjamin Van Roy,et al. On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming , 2004, Math. Oper. Res..
[19] A. Ruszczynski,et al. Optimization of Risk Measures , 2006 .
[20] Giuseppe Carlo Calafiore,et al. Uncertain convex programs: randomized solutions and confidence levels , 2005, Math. Program..
[21] Robert J. Vanderbei,et al. Robust Optimization of Large-Scale Systems , 1995, Oper. Res..
[22] A. Prékopa,et al. Programming Under Probabilistic Constraint with Discrete Random Variable , 1998 .
[23] Arkadi Nemirovski,et al. Robust solutions of Linear Programming problems contaminated with uncertain data , 2000, Math. Program..
[24] G. Schechtman,et al. Remarks on Talagrand’s deviation inequality for Rademacher functions , 1990, math/9201208.
[25] Darinka Dentcheva,et al. Concavity and efficient points of discrete distributions in probabilistic programming , 2000, Math. Program..
[26] A. Nemirovski. On tractable approximations of randomly perturbed convex constraints , 2003, 42nd IEEE International Conference on Decision and Control (IEEE Cat. No.03CH37475).
[27] Marco C. Campi,et al. Decision Making in an Uncertain Environment: the Scenario based Optimization Approach , 2004 .
[28] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[29] A. Shapiro. Monte Carlo Sampling Methods , 2003 .
[30] A. Nemirovski,et al. Scenario Approximations of Chance Constraints , 2006 .
[31] R. Rockafellar,et al. Deviation Measures in Risk Analysis and Optimization , 2002 .
[32] R. Rockafellar,et al. Generalized Deviations in Risk Analysis , 2004 .
[33] L. Khachiyan. COMMUNICATIONS OF THE MOSCOW MATHEMATICAL SOCIETY: The problem of calculating the volume of a polyhedron is enumerably hard , 1989 .
[34] L. Goddard,et al. Operations Research (OR) , 2007 .
[35] R. Jagannathan,et al. Chance-Constrained Programming with Joint Constraints , 1974, Oper. Res..
[36] András Prékopa. Static Stochastic Programming Models , 1995 .
[37] Garud Iyengar,et al. Ambiguous chance constrained problems and robust optimization , 2006, Math. Program..