Concepedia

Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions

Hailin Sun, Huifu Xu, Yong Wang

Journal of Optimization Theory and Applications · 2012 · 31 citations · 23 references

Concepts

Conditional ValueEngineeringStochastic OptimizationUncertainty QuantificationOptimization ProblemConvex OptimizationSample Average ApproximationApproximation TheoryStatisticsRobust Optimization

References

23

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.3K citations

Mathematical Programming, Risk Metric, Constrained Optimization +20

Robust solutions of Linear Programming problems contaminated with uncertain data

Aharon Ben‐Tal, Arkadi Nemirovski · Mathematical Programming · 2000 · 1.7K citations

Mathematical Programming, Data-driven Optimization, Engineering +10

Integrals of set-valued functions

Robert J. Aumann · Journal of Mathematical Analysis and Applications · 1965 · 1.3K citations

Set-valued Functions, Generalized Function, Function Theory +2

Convex Approximations of Chance Constrained Programs

Arkadi Nemirovski, Alexander Shapiro · SIAM Journal on Optimization · 2006 · 1.1K citations

Stochastic Simulation, Large Deviations, Engineering +14

Decision making under uncertainty in electricity markets

Luiz Barroso, Antonio J. Conejo · 2006 IEEE Power Engineering Society General Meeting · 2006 · 632 citations

Mathematical Programming, Engineering, Market Design +18