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

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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...

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Bibliographic Details
Main Authors:	Chen, W., Sim, M., Sun, Jie, teo, C.
Format:	Journal Article
Published:	Institute for Operations Research and the Management Sciences (I N F O R M S) 2010
Online Access:	http://hdl.handle.net/20.500.11937/11995

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