From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization.

Wenqing Chen Melvyn Sim Jie Sun Chung-Piaw Teo

Published in: Oper. Res. (2010)

Keyphrases

robust optimization
chance constrained
stochastic programming
mathematical programming
chance constraints
chance constrained programming
lot sizing
decision theory
multi objective
state space
multistage
input output
semidefinite programming