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

Wenqing Chen (), Melvyn Sim (), Jie Sun () and Chung-Piaw Teo ()
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Wenqing Chen: NUS Business School, National University of Singapore, Singapore
Melvyn Sim: NUS Business School and NUS Risk Management Institute, National University of Singapore, Singapore
Jie Sun: NUS Business School and NUS Risk Management Institute, National University of Singapore, Singapore
Chung-Piaw Teo: NUS Business School, National University of Singapore, Singapore

Operations Research, 2010, vol. 58, issue 2, 470-485

Abstract: 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.

Keywords: decision analysis; risk; probability; application; programming; stochastic; nonlinear (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (73)

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