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• W3004454580 abstract "We consider a generic class of chance-constrained optimization problems with heavy-tailed (i.e., power-law type) risk factors. In this setting, we use the scenario approach to obtain a constant approximation to the optimal solution with a computational complexity that is uniform in the risk tolerance parameter. We additionally illustrate the efficiency of our algorithm in the context of solvency in insurance networks." @default.
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• W3004454580 date "2020-02-06" @default.
• W3004454580 modified "2023-09-22" @default.
• W3004454580 title "Optimal Scenario Generation for Heavy-tailed Chance Constrained Optimization" @default.
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• W3004454580 hasPublicationYear "2020" @default.
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