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

• 成果类型: Article
• 署名作者: Chen, Wenqing; Sim, Melvyn; Sun, Jie; Teo, Chung-Piaw
• 署名单位: National University of Singapore; National University of Singapore
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.1090.0712
• 发表日期: 2010
• 页码: 470-485
• 关键词: robust solutions

摘要

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.