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Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs JOURNAL ARTICLE published 30 September 2023 in SIAM Journal on Optimization |
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Convex Approximations of Chance Constrained Programs JOURNAL ARTICLE published January 2007 in SIAM Journal on Optimization |
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On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems JOURNAL ARTICLE published January 2018 in SIAM Journal on Optimization Research funded by National Science Foundation (1633196) |
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Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection JOURNAL ARTICLE published January 2005 in SIAM Journal on Control and Optimization |
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A Constrained Matrix Optimization Problem JOURNAL ARTICLE published January 1982 in SIAM Review |
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A Constrained Matrix Optimization Problem JOURNAL ARTICLE published January 1981 in SIAM Review |
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Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency JOURNAL ARTICLE published 30 September 2023 in SIAM Journal on Optimization Research funded by National Science Foundation (DMS-1812197) |
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Constrained Bundle Methods for Upper Inexact Oracles with Application to Joint Chance Constrained Energy Problems JOURNAL ARTICLE published January 2014 in SIAM Journal on Optimization |
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An Inner-Outer Approximation Approach to Chance Constrained Optimization JOURNAL ARTICLE published January 2017 in SIAM Journal on Optimization Research funded by Deutsche Forschungsgemeinschaft (LI 806/13-1,LI 806/13-2) |
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Semidefinite Programming For Chance Constrained Optimization Over Semialgebraic Sets JOURNAL ARTICLE published January 2015 in SIAM Journal on Optimization |
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Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem JOURNAL ARTICLE published January 2007 in SIAM Journal on Control and Optimization |
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Linear Matrix Inequalities with Stochastically Dependent Perturbations and Applications to Chance-Constrained Semidefinite Optimization JOURNAL ARTICLE published January 2012 in SIAM Journal on Optimization |
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Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information JOURNAL ARTICLE published January 2018 in SIAM Journal on Optimization Research funded by National Science Foundation (CMMI-1433066,CMMI-1662774) |
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Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models JOURNAL ARTICLE published December 2022 in SIAM Journal on Financial Mathematics Research funded by Australian Research Council (DE200101266) |
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On a Class of Minimax Stochastic Programs JOURNAL ARTICLE published January 2004 in SIAM Journal on Optimization |
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Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation JOURNAL ARTICLE published January 2020 in SIAM Journal on Optimization Research funded by Los Alamos National Laboratory (89233218CNA000001,DE-AC52-06NA25396) | National Science Foundation (DMS-1522747) | National Science Foundation (DMS-1522747) | U.S. Department of Energy (DE-AC02-06CH11357) |
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Dynamic Control of Infeasibility in Equality Constrained Optimization JOURNAL ARTICLE published January 2008 in SIAM Journal on Optimization |
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An Inexact SQP Method for Equality Constrained Optimization JOURNAL ARTICLE published January 2008 in SIAM Journal on Optimization |
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Iterative Algorithm for Triple-Hierarchical Constrained Nonconvex Optimization Problem and Its Application to Network Bandwidth Allocation JOURNAL ARTICLE published January 2012 in SIAM Journal on Optimization |
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Erratum: Mesh Adaptive Direct Search Algorithms for Constrained Optimization JOURNAL ARTICLE published January 2008 in SIAM Journal on Optimization |