4 papers · 1 filter
Distributionally Robust Complex Chance-Constrained Optimization
Raneem Madani, Abdel Lisser, Zeno Toffano
This paper introduces a framework for Chance-Constrained Optimization with Complex Variables, addressing complex linear programming for both individual and joint probabilistic cons…
Decision-dependent distributionally robust standard quadratic optimization with Wasserstein ambiguity
Immanuel M. Bomze, Daniel de Vicente, Abdel Lisser +1
The standard quadratic optimization problem (StQP) consists of minimizing a quadratic form over the standard simplex. Without assuming convexity or concavity of the quadratic form,…
Chance-Constrained Optimization with Complex Variables
Raneem Madani, Abdel Lisser
Optimization problems involving complex variables, when solved, are typically transformed into real variables, often at the expense of convergence rate and interpretability. This p…
Convexity of chance constraints for elliptical and skewed distributions with copula structures dependent on decision variables
Heng Zhang, Abdel Lisser
Chance constraints describe a set of given random inequalities depending on the decision vector satisfied with a large enough probability. They are widely used in decision making u…