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math.OC2020
Consistency of Distributionally Robust Risk- and Chance-Constrained Optimization under Wasserstein Ambiguity Sets
Ashish Cherukuri, Ashish R. Hota
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider th…
math.OC2020
Stochastic approximation of CVaR-based variational inequalities
Jasper Verbree, Ashish Cherukuri
In this paper we study variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions. We introduce stochastic approximation schemes that empl…
math.OC2020
Wasserstein Distributionally Robust Look-Ahead Economic Dispatch
Bala Kameshwar Poolla, Ashish R. Hota, Saverio Bolognani +2
We consider the problem of look-ahead economic dispatch (LAED) with uncertain renewable energy generation. The goal of this problem is to minimize the cost of conventional energy g…