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 constrai...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Institute for Operations Research and the Management Sciences (I N F O R M S)
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/11995 |
| _version_ | 1848747955381600256 |
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| author | Chen, W. Sim, M. Sun, Jie teo, C. |
| author_facet | Chen, W. Sim, M. Sun, Jie teo, C. |
| author_sort | Chen, W. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 builds on a classical worst case bound for order statistics problem and is applicable even if the constraints are correlated. We provide an application of the model on a network resource allocation problem with uncertain demand. |
| first_indexed | 2025-11-14T06:57:22Z |
| format | Journal Article |
| id | curtin-20.500.11937-11995 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:57:22Z |
| publishDate | 2010 |
| publisher | Institute for Operations Research and the Management Sciences (I N F O R M S) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-119952018-03-29T09:05:57Z From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization Chen, W. Sim, M. Sun, Jie teo, C. 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 builds on a classical worst case bound for order statistics problem and is applicable even if the constraints are correlated. We provide an application of the model on a network resource allocation problem with uncertain demand. 2010 Journal Article http://hdl.handle.net/20.500.11937/11995 10.1287/opre.1090.0712 Institute for Operations Research and the Management Sciences (I N F O R M S) restricted |
| spellingShingle | Chen, W. Sim, M. Sun, Jie teo, C. From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization |
| title | From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization |
| title_full | From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization |
| title_fullStr | From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization |
| title_full_unstemmed | From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization |
| title_short | From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization |
| title_sort | from cvar to uncertainty set: implications in joint chance-constrained optimization |
| url | http://hdl.handle.net/20.500.11937/11995 |