Month: January 2007

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

  • Wenqing Chen
  • Jie Sun
  • Chung-Piaw Teo
  • Melvyn Sim
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    In this paper we review the different tractable approximations of individual chance constraint problems using robust optimization on a varieties of uncertainty set, and show their interesting connections with bounds on the condition-value-at-risk CVaR measure popularized by Rockafellar and Uryasev. We also propose a new formulation for approximating joint chance constrained problems that improves upon … Read more

    New class of limited-memory variationally-derived variable metric methods

  • Ladislav Lukšan
  • Jan Vlček
    • Categories Nonlinear Optimization Tags , ,

    A new family of limited-memory variationally-derived variable metric or quasi-Newton methods for unconstrained minimization is given. The methods have quadratic termination property and use updates, invariant under linear transformations. Some encouraging numerical experience is reported. Citation Technical Report V-973. Prague, ICS AS CR 2006. Article Download View New class of limited-memory variationally-derived variable metric methods

    Inverse Stochastic Linear Programming

  • Lewis Ntaimo
  • Andrew J. Schaefer
  • Gorkem Saka
    • Categories Stochastic Programming Tags , ,

    Inverse optimization perturbs objective function to make an initial feasible solution optimal with respect to perturbed objective function while minimizing cost of perturbation. We extend inverse optimization to two-stage stochastic linear programs. Since the resulting model grows with number of scenarios, we present two decomposition approaches for solving these problems. Citation Unpublished: 07-1, University of … Read more