Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness

Chance-constrained programming (CCP) is one of the most difficult classes of optimization problems that has attracted the attention of researchers since the 1950s. In this survey, we focus on cases when only limited information on the distribution is available, such as a sample from the distribution...

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Bibliografische gegevens

Hoofdauteurs:	Simge Küçükyavuz, Ruiwei Jiang
Formaat:	Artigo
Taal:	Inglês
Gepubliceerd in:	Elsevier 2022-01-01
Reeks:	EURO Journal on Computational Optimization
Onderwerpen:	Chance-constrained programs Mixed-integer conic formulations Distributionally robust Ambiguity sets Applications
Online toegang:	http://www.sciencedirect.com/science/article/pii/S2192440622000065
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