Distributionally Robust Joint Chance Constrained Problem under Moment Uncertainty
We discuss and develop the convex approximation for robust joint chance constraints under uncertainty of first- and second-order moments. Robust chance constraints are approximated by Worst-Case CVaR constraints which can be reformulated by a semidefinite programming. Then the chance constrained pro...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/487178 |