From CVaR to uncertainty set: Implications in joint chance-constrained optimization

Operations Research

Volumn 58, Issue 2, 2010, Pages 470-485

  Chen, Wenqing ^a   Sim, Melvyn ^a   Sun, Jie ^a   Teo, Chung Piaw ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Decision analysis: risk; Nonlinear; Probability: application; Programming: stochastic

Indexed keywords

APPLICATION PROGRAMMING; CHANCE-CONSTRAINED; DECISION ANALYSIS; DECISION ANALYSIS: RISK; NETWORK RESOURCE ALLOCATIONS; NONLINEAR; ORDER STATISTICS; ROBUST OPTIMIZATION; UNCERTAIN DEMAND; VALUE AT RISK;

DECISION MAKING; DECISION THEORY; RISK ANALYSIS; RISK ASSESSMENT; STOCHASTIC SYSTEMS;

CONSTRAINED OPTIMIZATION;

EID: 77951163089     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1090.0712     Document Type: Review

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