Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

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

    Access Status
    Fulltext not available
    Authors
    Chen, W.
    Sim, M.
    Sun, Jie
    teo, C.
    Date
    2010
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Chen, W. and Sim, M. and Sun, J. and teo, C. 2010. From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization. Operations Research. 58: pp. 470-485.
    Source Title
    Operations Research
    DOI
    10.1287/opre.1090.0712
    ISSN
    0030-364X
    URI
    http://hdl.handle.net/20.500.11937/11995
    Collection
    • Curtin Research Publications
    Abstract

    We review and develop different tractable approximations to individual chance constrained problems in robust optimization on a varieties of uncertainty sets and show their interesting connections with bounds on the conditional-value-at-risk (CVaR) measure. We extend the idea to joint chance constrained problems and provide a new formulation that improves upon the standard approach. Our approach builds on a classical worst case bound for order statistics problem and is applicable even if the constraints are correlated. We provide an application of the model on a network resource allocation problem with uncertain demand.

    Related items

    Showing items related by title, author, creator and subject.

    • Global optimization for nonconvex optimization problems
      Ruan, Ning (2012)
      Duality is one of the most successful ideas in modern science [46] [91]. It is essential in natural phenomena, particularly, in physics and mathematics [39] [94] [96]. In this thesis, we consider the canonical duality ...
    • Optimal control problems with constraints on the state and control and their applications
      Li, Bin (2011)
      In this thesis, we consider several types of optimal control problems with constraints on the state and control variables. These problems have many engineering applications. Our aim is to develop efficient numerical methods ...
    • Heuristic algorithms for routing problems.
      Chong, Yen N. (2001)
      General routing problems deal with transporting some commodities and/or travelling along the axes of a given network in some optimal manner. In the modern world such problems arise in several contexts such as distribution ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.