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|Title:||From CVaR to uncertainty set: Implications in joint chance-constrained optimization|
|Keywords:||Decision analysis: risk|
|Citation:||Chen, W., Sim, M., Sun, J., Teo, C.-P. (2010). From CVaR to uncertainty set: Implications in joint chance-constrained optimization. Operations Research 58 (2) : 470-485. ScholarBank@NUS Repository. https://doi.org/10.1287/opre.1090.0712|
|Abstract:||We review and develop different tractable approximations to individual chance-constrained problems in robust optimization on a variety 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 problems 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. ©2010 INFORMS.|
|Source Title:||Operations Research|
|Appears in Collections:||Staff Publications|
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