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Safe Approximations of Chance Constraints Using Historical Data

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  • Yanikoglu, I.

    (Tilburg University, Center For Economic Research)

  • den Hertog, D.

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Yanikoglu, I. & den Hertog, D., 2011. "Safe Approximations of Chance Constraints Using Historical Data," Discussion Paper 2011-137, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:ab77f6f2-248a-42f1-bde1-0050015aec07
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/1377551/2011-137.pdf
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    References listed on IDEAS

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    1. Aharon Ben-Tal & Arkadi Nemirovski, 2009. "On Safe Tractable Approximations of Chance-Constrained Linear Matrix Inequalities," Mathematics of Operations Research, INFORMS, vol. 34(1), pages 1-25, February.
    2. Wenqing Chen & Melvyn Sim & Jie Sun & Chung-Piaw Teo, 2010. "From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization," Operations Research, INFORMS, vol. 58(2), pages 470-485, April.
    3. den Hertog, Dick & Stehouwer, Peter, 2002. "Optimizing color picture tubes by high-cost nonlinear programming," European Journal of Operational Research, Elsevier, vol. 140(2), pages 197-211, July.
    4. Ben-Tal, A. & den Hertog, D. & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Discussion Paper 2012-053, Tilburg University, Center for Economic Research.
    5. Bruce L. Miller & Harvey M. Wagner, 1965. "Chance Constrained Programming with Joint Constraints," Operations Research, INFORMS, vol. 13(6), pages 930-945, December.
    6. A. Charnes & W. W. Cooper & G. H. Symonds, 1958. "Cost Horizons and Certainty Equivalents: An Approach to Stochastic Programming of Heating Oil," Management Science, INFORMS, vol. 4(3), pages 235-263, April.
    7. A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
    8. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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    Cited by:

    1. Yanikoglu, I. & den Hertog, D. & Kleijnen, Jack P.C., 2013. "Adjustable Robust Parameter Design with Unknown Distributions," Other publications TiSEM 47fec228-1ffe-4803-8e97-5, Tilburg University, School of Economics and Management.

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