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Analyzing and Quantifying the Intrinsic Distributional Robustness of CVaR Reformulation for Chance Constrained Stochastic Programs
(IEEE, 2020-09-02)
- article
Chance constrained program (CCP) is a popular stochastic optimization method in power system planning and operation problems. Conditional Value-at-Risk (CVaR) provides a convex approximation for chance constraints which ...