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Distributionally robust chance-constrained programs (DR-CCP) over Wasserstein ambiguity sets exhibit attractive out-of-sample performance and admit big-$M$-based mixed-integer programming (MIP) reformulations with conic constraints.
The mixed vertex packing problem
A. Atamtürk, G. L. Nemhauser, and M. W. Savelsbergh · 2000
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Mixing mixed-integer inequalities
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Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
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Worst-case value-at-risk and robust portfolio optimization: A conic programming approach
L. El Ghaoui, M. Oks, and F. Oustry · 2003
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Uncertain convex programs: randomized solutions and confidence levels
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On distributionally robust chance-constrained linear programs
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A sample approximation approach for optimization with probabilistic constraints
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An integer programming approach for linear programs with probabilistic constraints
J. Luedtke, S. Ahmed, and G. L. Nemhauser · 2010
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A sampling-and-discarding approach to chance-constrained optimization: feasibility and optimality
M. Campi and S. Garatti · 2011
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On mixing sets arising in chance-constrained programming
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Online supplement to: A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
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A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
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Y. Song, S. Küçükyavuz, and J. Luedtke · 2014
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A distributionally robust perspective on uncertainty quantification and chance constrained programming
G. A. Hanasusanto, V. Roitch, D. Kuhn, and W. Wiesemann · 2015
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On the mixing set with a knapsack constraint
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Distributionally robust stochastic optimization with Wasserstein distance
R. Gao and A. J. Kleywegt · 2016
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Data-driven chance constrained stochastic program
R. Jiang and Y. Guan · 2016
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Decomposition algorithms for two-stage chance-constrained programs
X. Liu, S. Küçükyavuz, and J. Luedtke · 2016
Ambiguous chance-constrained binary programs under mean-covariance information
Y. Zhang, R. Jiang, and S. Shen · 2018
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Data-driven chance constrained optimization under Wasserstein ambiguity sets
A. R. Hota, A. Cherukuri, and J. Lygeros · 2019
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Joint chance-constrained programs and the intersection of mixing sets through a submodularity lens
F. Kılınç-Karzan, S. Küçükyavuz, and D. Lee · 2019
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Ambiguous risk constraints with moment and unimodality information
B. Li, R. Jiang, and J. L. Mathieu · 2019
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On intersection of two mixing sets with applications to joint chance-constrained programs
X. Liu, F. Kılınç-Karzan, and S. Küçükyavuz · 2019
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Quantifying distributional model risk via optimal transport
J. Blanchet and K. Murthy · 2018
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Data-driven chance constrained programs over Wasserstein balls
Z. Chen, D. Kuhn, and W. Wiesemann · 2018
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Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
R. Ji and M. Lejeune · 2018
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Data-driven distributionally robust optimization using the wasserstein metric: performance guarantees and tractable reformulations
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Sharing the value-at-risk under distributional ambiguity
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H. Rahimian and S. Mehrotra · 2019
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A solution approach to distributionally robust chance-constrained assignment problems
S. Wang, J. Li, and S. Mehrotra · 2019
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On distributionally robust chance constrained programs with Wasserstein distance
W. Xie · 2019
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N. Ho-Nguyen, F. Kılınç-Karzan, S. Küçükyavuz, and D. Lee · 2020
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Bicriteria approximation of chance constrained covering problems
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Distributionally robust chance-constrained building load control under uncertain renewables
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