Data-driven decision making in power systems with probabilistic guarantees: Theory and applications of chance-constrained optimization

X Geng, L Xie - Annual reviews in control, 2019 - Elsevier
Uncertainties from deepening penetration of renewable energy resources have posed
critical challenges to the secure and reliable operations of future electric grids. Among …

On safe tractable approximations of chance constraints

A Nemirovski - European Journal of Operational Research, 2012 - Elsevier
A natural way to handle optimization problem with data affected by stochastic uncertainty is
to pass to a chance constrained version of the problem, where candidate solutions should …

Robust optimization

A Ben-Tal, A Nemirovski, L El Ghaoui - 2009 - torrossa.com
Robust Optimization Page 1 Page 2 Robust Optimization Page 3 Princeton Series in Applied
Mathematics Series Editors: Ingrid Daubechies (Princeton University); Weinan E (Princeton …

[图书][B] Introduction to stochastic programming

JR Birge, F Louveaux - 2011 - books.google.com
The aim of stochastic programming is to find optimal decisions in problems which involve
uncertain data. This field is currently developing rapidly with contributions from many …

Data-driven chance constrained stochastic program

R Jiang, Y Guan - Mathematical Programming, 2016 - Springer
In this paper, we study data-driven chance constrained stochastic programs, or more
specifically, stochastic programs with distributionally robust chance constraints (DCCs) in a …

Convex approximations of chance constrained programs

A Nemirovski, A Shapiro - SIAM Journal on Optimization, 2007 - SIAM
We consider a chance constrained problem, where one seeks to minimize a convex
objective over solutions satisfying, with a given close to one probability, a system of …

[图书][B] Global optimization in action: continuous and Lipschitz optimization: algorithms, implementations and applications

JD Pintér - 1995 - books.google.com
In science, engineering and economics, decision problems are frequently modelled by
optimizing the value of a (primary) objective function under stated feasibility constraints. In …

Selected topics in robust convex optimization

A Ben-Tal, A Nemirovski - Mathematical Programming, 2008 - Springer
Robust Optimization is a rapidly developing methodology for handling optimization
problems affected by non-stochastic “uncertain-but-bounded” data perturbations. In this …

A robust optimization perspective on stochastic programming

X Chen, M Sim, P Sun - Operations research, 2007 - pubsonline.informs.org
In this paper, we introduce an approach for constructing uncertainty sets for robust
optimization using new deviation measures for random variables termed the forward and …

From CVaR to uncertainty set: Implications in joint chance-constrained optimization

W Chen, M Sim, J Sun, CP Teo - Operations research, 2010 - pubsonline.informs.org
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 …