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Distributionally Robust Optimization for Nonconvex QCQPs with Stochastic Constraints.
Eli Brock
Haixiang Zhang
Julie Mulvaney-Kemp
Javad Lavaei
Somayeh Sojoudi
Published in:
CDC (2023)
Keyphrases
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robust optimization
chance constraints
chance constrained
stochastic programming
stochastic optimization
mathematical programming
portfolio optimization
risk measures
lot sizing
convex optimization
objective function
optimization problems
semidefinite programming
pairwise
high dimensional