Charnes A, Cooper W, Symonds G. Cost horizons and certainty equivalents: an approach to stochastic progrmming of heating oil[J]. Managements Sci,1958,4(3):235-263.
[2]
Miller L, Wagnet H. Chance-constrained programming with joint constraints[J]. Oper Res,1965,13(6):930-945.
[3]
Alizadeh F, Goldfarb D. Second-order cone programming[J]. Math Program,2003,A95(1):3-51.
[4]
Calafiore G, Ghaoui L. Distributionally robust chance-constrained linear programms with applications[J]. J Optim Theory Appl,2006,130(1):1-22.
[5]
Nemirovski A, Shapiro A. Convex approximation of chance constrained programms[J]. SIAM J Optim,2006,17(4):969-996.
[6]
Calafiore G, Campi M C. Uncertain convex programming: randomized solutions and confidence levels[J]. Math Program,2005,A102(1):25-46.
[7]
Calafiore G, Campi M C. The scenario approach to robust control design[J]. IEEE Trans Automatic Control,2006,51(5):742-753.
[8]
Ergodan G, Iyengar G. Ambiguous chance constrained problems and robust optimization[J]. Math Program,2006,B107(1):37-64.
[9]
Luedtke J, Ahmed S. A sampling approximation approach for optimization with probabilistic constraints[J]. SIAM J Optim,2008,19(2):674-699.
[10]
Zymler S, Kuhn D, Rustem B. Distributionally robust joint chance constraints with second-order moment information[J]. Math Progam,2013,A137:167-198.
[11]
Bertsimas D, Brown D B, Caramanis C. Theory and application of robust optimization[J]. SIAM Rev,2011,53(3):464-501.
[12]
Rockafellar R T, Uryasev S. Optimization of conditional value-at-risk[J]. J Risk,2000,2:21-41.
[13]
Rockafellar R T, Uryasev S. Conditional value-at-risk for general loss distributions[J]. J Banking Finance,2002,26:1443-1471.
[14]
Chen W, Sim M, Sun J, et al. From CVaR to uncertainy set: Implicaions in joint chance constrained optimization[J]. Oper Res,2010,55(6):470-485.
[15]
Shapiro A, Kleywegt A J. Minimax analysis of stochastic problems[J]. Optim Methods Software,2002,17:523-542.