Mathematics of Operations Research
Robust Solutions to Uncertain Semidefinite Programs
SIAM Journal on Optimization
Operations Research
Convex Optimization
Mathematical Programming: Series A and B
Convex risk measures for portfolio optimization and concepts of flexibility
Mathematical Programming: Series A and B
Extending Scope of Robust Optimization: Comprehensive Robust Counterparts of Uncertain Problems
Mathematical Programming: Series A and B
Optimization of Convex Risk Functions
Mathematics of Operations Research
Second Order Cone Programming Approaches for Handling Missing and Uncertain Data
The Journal of Machine Learning Research
A Robust Optimization Perspective on Stochastic Programming
Operations Research
A Linear Decision-Based Approximation Approach to Stochastic Programming
Operations Research
Satisficing Measures for Analysis of Risky Positions
Management Science
Operations Research
Constructing Uncertainty Sets for Robust Linear Optimization
Operations Research
Percentile Optimization for Markov Decision Processes with Parameter Uncertainty
Operations Research
A Soft Robust Model for Optimization Under Ambiguity
Operations Research
Theory and Applications of Robust Optimization
SIAM Review
Envelope constrained filter with linear interpolator
IEEE Transactions on Signal Processing
Envelope-constrained filters--I: Theory and applications
IEEE Transactions on Information Theory
Envelope-constrained filters--II: Adaptive structures
IEEE Transactions on Information Theory
Robust solutions of uncertain linear programs
Operations Research Letters
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Chance constraints are an important modeling tool in stochastic optimization, providing probabilistic guarantees that a solution “succeeds” in satisfying a given constraint. Although they control the probability of “success,” they provide no control whatsoever in the event of a “failure.” That is, they do not distinguish between a slight overshoot or undershoot of the bounds and more catastrophic violation. In short, they do not capture the magnitude of violation of the bounds. This paper addresses precisely this topic, focusing on linear constraints and ellipsoidal (Gaussian-like) uncertainties. We show that the problem of requiring different probabilistic guarantees at each level of constraint violation can be reformulated as a semi-infinite optimization problem. We provide conditions that guarantee polynomial-time solvability of the resulting semi-infinite formulation. We show further that this resulting problem is what has been called a comprehensive robust optimization problem in the literature. As a byproduct, we provide tight probabilistic bounds for comprehensive robust optimization. Thus, analogously to the connection between chance constraints and robust optimization, we provide a broader connection between probabilistic envelope constraints and comprehensive robust optimization.