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Tightening CVaR Approximations via Scenario-Wise Scaling for Chance-Constrained Programming

Published: 2026/03/30
  • Nan Jiang
  • Rui Chen
    • Categories Stochastic Programming Short URL: https://optimization-online.org/?p=34176

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    Keywords

    alternating direction method of multipliers augmented lagrangian method benders decomposition bilevel optimization Branch-and-Bound branch-and-cut chance constraints column generation combinatorial optimization complexity constrained optimization convex optimization cutting planes decomposition derivative-free optimization distributionally robust optimization duality dynamic programming first-order methods global convergence global optimization heuristics integer programming interior point methods large-scale optimization linear programming machine learning mixed-integer linear programming mixed-integer nonlinear programming mixed-integer programming multiobjective optimization nonconvex optimization nonlinear optimization nonlinear programming nonsmooth optimization optimal control optimization proximal point algorithm quadratic programming robust optimization semidefinite programming stochastic optimization stochastic programming trust-region methods unconstrained optimization

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