Wenqing Chen

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

    Goal Driven Optimization

  • Wenqing Chen
  • Melvyn Sim
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    Achieving a targeted objective, goal or aspiration level are relevant aspects of decision making under uncertainties. We develop a goal driven stochastic optimization model that takes into account an aspiration level. Our model maximizes the shortfall aspiration level criterion}, which encompasses the probability of success in achieving the goal and an expected level of under-performance … Read more