distributionally robust

ALSO-X#: Better Convex Approximations for Distributionally Robust Chance Constrained Programs

  • Nan Jiang
  • Weijun Xie
    • Categories Stochastic Programming Tags , , ,

    This paper studies distributionally robust chance constrained programs (DRCCPs), where the uncertain constraints must be satisfied with at least a probability of a prespecified threshold for all probability distributions from the Wasserstein ambiguity set. As DRCCPs are often nonconvex and challenging to solve optimally, researchers have been developing various convex inner approximations. Recently, ALSO-X has … Read more

    Chance-Constrained Optimization under Limited Distributional Information: A Review of Reformulations Based on Sampling and Distributional Robustness

  • Simge Küçükyavuz
  • Ruiwei Jiang
    • Categories Stochastic Programming Tags , , ,

    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 a limited information on the distribution is available, such as a sample from the distribution, or the moments of the distribution. We first … Read more