Wenqing Chen, Melvyn Sim, Jie Sun, Chung-Piaw Teo. From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization. Operations Research, 58(2):470-485, 2010. [doi]
@article{ChenSST10,
title = {From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization},
author = {Wenqing Chen and Melvyn Sim and Jie Sun and Chung-Piaw Teo},
year = {2010},
doi = {10.1287/opre.1090.0712},
url = {http://dx.doi.org/10.1287/opre.1090.0712},
tags = {optimization},
researchr = {https://researchr.org/publication/ChenSST10},
cites = {0},
citedby = {0},
journal = {Operations Research},
volume = {58},
number = {2},
pages = {470-485},
}