分布鲁棒机会约束优化问题的研究

doi:10.15960/j.cnki.issn.1007-6093.2020.01.009

Abstract

Abstract: As one of the most important models in stochastic problem, the chance constrained optimization problem has been widely used in the fields of finance, engineering, management and so on. As the practical problems become more and more complex, the probability distribution of the uncertainty is difficult to predict/estimate accurately. Distributionally robust chance constrained optimization problem, as an effective model with ambiguous distributional information about uncertainty, has been proposed in the literature. In recent years, researchers have constantly developed new models for distributionally robust chance constrained optimization problems. The main purpose of this paper is to review recent advances in emerging models for distributionally robust chance constrained optimization problems and their potential applications in practice.

Key words: chance constraints, distributionally robust optimization, algorithm

CLC Number:

O224

GENG Xiaolu, TONG Xiaojiao. A review on distributionally robust chance constrained optimization problems[J]. Operations Research Transactions, 2020, 24(1): 115-130.

References

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A review on distributionally robust chance constrained optimization problems

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