{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,24]],"date-time":"2026-07-24T06:47:47Z","timestamp":1784875667279,"version":"3.55.0"},"reference-count":27,"publisher":"Springer Science and Business Media LLC","issue":"4","license":[{"start":{"date-parts":[[2020,11,17]],"date-time":"2020-11-17T00:00:00Z","timestamp":1605571200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"},{"start":{"date-parts":[[2020,11,17]],"date-time":"2020-11-17T00:00:00Z","timestamp":1605571200000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["J Glob Optim"],"published-print":{"date-parts":[[2021,4]]},"DOI":"10.1007\/s10898-020-00966-0","type":"journal-article","created":{"date-parts":[[2020,11,17]],"date-time":"2020-11-17T02:02:19Z","timestamp":1605578539000},"page":"779-811","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":79,"title":["Data-driven distributionally robust chance-constrained optimization with Wasserstein metric"],"prefix":"10.1007","volume":"79","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-5797-0153","authenticated-orcid":false,"given":"Ran","family":"Ji","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6952-7212","authenticated-orcid":false,"given":"Miguel A.","family":"Lejeune","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2020,11,17]]},"reference":[{"key":"966_CR1","unstructured":"Blanchet, J., Chen, L., Zhou, X.Y.: Distributionally robust mean\u2013variance portfolio selection with Wasserstein distance. Working paper: available at Optimization Online (2018)"},{"key":"966_CR2","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511804441","volume-title":"Convex Optimization","author":"S Boyd","year":"2004","unstructured":"Boyd, S., Vandenberghe, L.: Convex Optimization. Cambridge University Press, Cambridge (2004)"},{"issue":"3","key":"966_CR3","doi-asserted-by":"publisher","first-page":"853","DOI":"10.1137\/060654803","volume":"18","author":"GC Calafiore","year":"2007","unstructured":"Calafiore, G.C.: Ambiguous risk measures and optimal robust portfolios. SIAM J. Optim. 18(3), 853\u2013877 (2007)","journal-title":"SIAM J. Optim."},{"key":"966_CR4","unstructured":"Chen, Z., Kuhn, D., Wiesemann, W.: Data-driven chance constrained programs over Wasserstein balls. Working paper: available at Optimization Online (2018)"},{"issue":"3","key":"966_CR5","doi-asserted-by":"publisher","first-page":"1485","DOI":"10.1137\/130915315","volume":"24","author":"J Cheng","year":"2014","unstructured":"Cheng, J., Delage, E., Lisser, A.: Distributionally robust stochastic knapsack problem. SIAM J. Optim. 24(3), 1485\u20131506 (2014)","journal-title":"SIAM J. Optim."},{"issue":"3","key":"966_CR6","doi-asserted-by":"publisher","first-page":"595","DOI":"10.1287\/opre.1090.0741","volume":"58","author":"E Delage","year":"2010","unstructured":"Delage, E., Ye, Y.: Distributionally robust optimization under moment uncertainty with application to data-driven problems. Oper. Res. 58(3), 595\u2013612 (2010)","journal-title":"Oper. Res."},{"key":"966_CR7","unstructured":"Duan, C., Fang, W., Jiang, L., Yao, L., Liu, J.: Distributionally robust chance-constrained voltage-concerned dc-opf with Wasserstein metric. Working paper. arXiv: 1706.05538v1 (2017)"},{"issue":"1\u20132","key":"966_CR8","doi-asserted-by":"publisher","first-page":"37","DOI":"10.1007\/s10107-005-0678-0","volume":"107","author":"E Erdo\u011fan","year":"2006","unstructured":"Erdo\u011fan, E., Iyengar, G.: Ambiguous chance constrained problems and robust optimization. Math. Program. 107(1\u20132), 37\u201361 (2006)","journal-title":"Math. Program."},{"issue":"1\u20132","key":"966_CR9","doi-asserted-by":"publisher","first-page":"115","DOI":"10.1007\/s10107-017-1172-1","volume":"171","author":"PM Esfahani","year":"2018","unstructured":"Esfahani, P.M., Kuhn, D.: Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations. Math. Program. 171(1\u20132), 115\u2013166 (2018)","journal-title":"Math. Program."},{"key":"966_CR10","unstructured":"Gao, R., Kleywegt, A.J.: Distributionally robust stochastic optimization with Wasserstein distance. Working paper: available at Optimization Online (2016)"},{"issue":"3","key":"966_CR11","doi-asserted-by":"publisher","first-page":"751","DOI":"10.1287\/opre.2016.1583","volume":"65","author":"GA Hanasusanto","year":"2017","unstructured":"Hanasusanto, G.A., Roitch, V., Kuhn, D., Wiesemann, W.: Ambiguous joint chance constraints under mean and dispersion information. Oper. Res. 65(3), 751\u2013767 (2017)","journal-title":"Oper. Res."},{"key":"966_CR12","unstructured":"Hu, Z., Hong, L.J.: Kullback-Leibler divergence constrained distributionally robust optimization. Working paper: available at Optimization Online (2013)"},{"key":"966_CR13","unstructured":"IBM: IBM big data hub\u2014the four v\u2019s of big data. http:\/\/www.ibmbigdatahub.com\/sites\/default\/files\/infographic_file\/4-Vs-of-big-data.jpg (2017)"},{"key":"966_CR14","doi-asserted-by":"crossref","unstructured":"Ji, R., Lejeune, M.: Data-driven optimization of reward-risk ratio measures. INFORMS J. Comput. (2020) (in press)","DOI":"10.1287\/ijoc.2020.1002"},{"key":"966_CR15","doi-asserted-by":"publisher","first-page":"291","DOI":"10.1007\/s10107-015-0929-7","volume":"158","author":"R Jiang","year":"2015","unstructured":"Jiang, R., Guan, Y.: Data-driven chance constrained stochastic program. Math. Program. 158, 291\u2013327 (2015)","journal-title":"Math. Program."},{"issue":"9","key":"966_CR16","doi-asserted-by":"publisher","first-page":"838","DOI":"10.1080\/0740817X.2016.1167287","volume":"48","author":"R Jiang","year":"2016","unstructured":"Jiang, R., Guan, Y., Watson, J.P.: Risk-averse stochastic unit commitment with incomplete information. IIE Trans. 48(9), 838\u2013854 (2016)","journal-title":"IIE Trans."},{"issue":"1","key":"966_CR17","doi-asserted-by":"publisher","first-page":"147","DOI":"10.1007\/BF01580665","volume":"10","author":"GP McCormick","year":"1976","unstructured":"McCormick, G.P.: Computability of global solutions to factorable nonconvex programs: part I\u2014convex underestimating problems. Math. Program. 10(1), 147\u2013175 (1976)","journal-title":"Math. Program."},{"key":"966_CR18","first-page":"1","volume":"26","author":"GC Pflug","year":"2017","unstructured":"Pflug, G.C., Pohl, M.: A review on ambiguity in stochastic portfolio optimization. Set-Valued Var. Anal. 26, 1\u201325 (2017)","journal-title":"Set-Valued Var. Anal."},{"issue":"4","key":"966_CR19","doi-asserted-by":"publisher","first-page":"435","DOI":"10.1080\/14697680701455410","volume":"7","author":"GC Pflug","year":"2007","unstructured":"Pflug, G.C., Wozabal, D.: Ambiguity in portfolio selection. Quant. Finance 7(4), 435\u2013442 (2007)","journal-title":"Quant. Finance"},{"issue":"2","key":"966_CR20","doi-asserted-by":"publisher","first-page":"410","DOI":"10.1016\/j.jbankfin.2011.07.018","volume":"36","author":"GC Pflug","year":"2012","unstructured":"Pflug, G.C., Pichler, A., Wozabal, D.: The 1\/N investment strategy is optimal under high model ambiguity. J. Bank. Finance 36(2), 410\u2013417 (2012)","journal-title":"J. Bank. Finance"},{"issue":"4","key":"966_CR21","doi-asserted-by":"publisher","first-page":"603","DOI":"10.1137\/151005221","volume":"58","author":"K Postek","year":"2016","unstructured":"Postek, K., Den Hertog, D., Melenberg, B.: Computationally tractable counterparts of distributionally robust constraints on risk measures. SIAM Rev. 58(4), 603\u2013650 (2016)","journal-title":"SIAM Rev."},{"issue":"6","key":"966_CR22","doi-asserted-by":"publisher","first-page":"1358","DOI":"10.1287\/opre.2014.1314","volume":"62","author":"W Wiesemann","year":"2014","unstructured":"Wiesemann, W., Kuhn, D., Sim, M.: Distributionally robust convex optimization. Oper. Res. 62(6), 1358\u20131376 (2014)","journal-title":"Oper. Res."},{"key":"966_CR23","doi-asserted-by":"publisher","unstructured":"Xie, W.: On distributionally robust chance constrained programs with Wasserstein distance. Math. Program. 1\u201341 (2018). https:\/\/doi.org\/10.1007\/s10107-019-01445-5","DOI":"10.1007\/s10107-019-01445-5"},{"issue":"2","key":"966_CR24","first-page":"516","volume":"68","author":"W Xie","year":"2020","unstructured":"Xie, W., Ahmed, S.: Bicriteria approximation of chance-constrained covering problems. Oper. Res. 68(2), 516\u2013533 (2020)","journal-title":"Oper. Res."},{"issue":"1\u20132","key":"966_CR25","doi-asserted-by":"publisher","first-page":"231","DOI":"10.1007\/s10107-014-0842-5","volume":"155","author":"W Yang","year":"2016","unstructured":"Yang, W., Xu, H.: Distributionally robust chance constraints for non-linear uncertainties. Math. Program. 155(1\u20132), 231\u2013265 (2016)","journal-title":"Math. Program."},{"issue":"2","key":"966_CR26","doi-asserted-by":"publisher","first-page":"262","DOI":"10.1016\/j.orl.2018.01.011","volume":"46","author":"C Zhao","year":"2018","unstructured":"Zhao, C., Guan, Y.: Data-driven risk-averse stochastic optimization with Wasserstein metric. Oper. Res. Lett. 46(2), 262\u2013267 (2018)","journal-title":"Oper. Res. Lett."},{"issue":"1\u20132","key":"966_CR27","doi-asserted-by":"publisher","first-page":"167","DOI":"10.1007\/s10107-011-0494-7","volume":"137","author":"S Zymler","year":"2013","unstructured":"Zymler, S., Kuhn, D., Rustem, B.: Distributionally robust joint chance constraints with second-order moment information. Math. Program. 137(1\u20132), 167\u2013198 (2013)","journal-title":"Math. Program."}],"container-title":["Journal of Global Optimization"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10898-020-00966-0.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10898-020-00966-0\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10898-020-00966-0.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,3,16]],"date-time":"2021-03-16T05:31:30Z","timestamp":1615872690000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10898-020-00966-0"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,11,17]]},"references-count":27,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2021,4]]}},"alternative-id":["966"],"URL":"https:\/\/doi.org\/10.1007\/s10898-020-00966-0","relation":{},"ISSN":["0925-5001","1573-2916"],"issn-type":[{"value":"0925-5001","type":"print"},{"value":"1573-2916","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,11,17]]},"assertion":[{"value":"25 June 2019","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"31 October 2020","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"17 November 2020","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}