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Title of Journal: Math Program

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Abbravation: Mathematical Programming

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Springer Berlin Heidelberg

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DOI

10.1016/0378-4754(80)90017-8

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ISSN

1436-4646

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A distributionally robust perspective on uncertain

Authors: Grani A Hanasusanto Vladimir Roitch Daniel Kuhn Wolfram Wiesemann
Publish Date: 2015/03/21
Volume: 151, Issue: 1, Pages: 35-62
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Abstract

The objective of uncertainty quantification is to certify that a given physical engineering or economic system satisfies multiple safety conditions with high probability A more ambitious goal is to actively influence the system so as to guarantee and maintain its safety a scenario which can be modeled through a chance constrained program In this paper we assume that the parameters of the system are governed by an ambiguous distribution that is only known to belong to an ambiguity set characterized through generalized moment bounds and structural properties such as symmetry unimodality or independence patterns We delineate the watershed between tractability and intractability in ambiguityaverse uncertainty quantification and chance constrained programming Using tools from distributionally robust optimization we derive explicit conic reformulations for tractable problem classes and suggest efficiently computable conservative approximations for intractable ones

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  2. Some computationally relevant group theoretic structures of fixed charge problems
  3. Applications of convex analysis within mathematics
  4. Large-scale semidefinite programs in electronic structure calculation
  5. The factorization approach to large-scale linear programming
  6. Beyond symmetric Broyden for updating quadratic models in minimization without derivatives
  7. A spatial branch-and-cut method for nonconvex QCQP with bounded complex variables
  8. Breakpoint searching algorithms for the continuous quadratic knapsack problem
  9. Sandwich games
  10. Approximations of Nash equilibria
  11. Using cuts for mixed integer knapsack sets to generate cuts for mixed integer polyhedral conic sets
  12. A robust and efficient method for solving point distance problems by homotopy
  13. A nonmonotone GRASP
  14. Extreme point inequalities and geometry of the rank sparsity ball
  15. Primal-dual interior-point methods for PDE-constrained optimization
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  17. Single item lot-sizing with non-decreasing capacities
  18. Structural and algorithmic properties for parametric minimum cuts
  19. Simple integer recourse models: convexity and convex approximations
  20. A model of the coNP-complete non-Hamilton tour decision problem for directed graphs
  21. Iteration complexity analysis of block coordinate descent methods
  22. Error Bounds of Regularized Gap Functions for Nonsmooth Variational Inequality Problems
  23. Accelerating the cubic regularization of Newton’s method on convex problems
  24. Bundle methods for sum-functions with “easy” components: applications to multicommodity network design
  25. On the number of solutions to the linear comple-mentarity problem
  26. Time-consistent approximations of risk-averse multistage stochastic optimization problems
  27. PEBBL: an object-oriented framework for scalable parallel branch and bound
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  30. Critical extreme points of the 2-edge connected spanning subgraph polytope
  31. Nash equilibria in the two-player kidney exchange game
  32. On some properties and an application of the logarithmic barrier method
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  34. On the exact separation of mixed integer knapsack cuts
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