Distributionally robust optimization with polynomial densities: theory, models and algorithms
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Publication:2189441
DOI10.1007/s10107-019-01429-5zbMath1467.90030DBLPjournals/mp/KlerkKP20arXiv1805.03588OpenAlexW2972299727WikidataQ88197640 ScholiaQ88197640MaRDI QIDQ2189441
Krzysztof Postek, Daniel Kuhn, Etienne de Klerk
Publication date: 15 June 2020
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.03588
semidefinite programminggeneralized eigenvalue problemsum-of-squares polynomialsdistributionally robust optimization
Semidefinite programming (90C22) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15) Robustness in mathematical programming (90C17)
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Robust portfolio optimization: a categorized bibliographic review ⋮ Convergence analysis of a Lasserre hierarchy of upper bounds for polynomial minimization on the sphere ⋮ Improved convergence analysis of Lasserre's measure-based upper bounds for polynomial minimization on compact sets ⋮ Special issue: On the interface between optimization and probability ⋮ Quadrature-based polynomial optimization ⋮ Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping ⋮ Globalized distributionally robust optimization based on samples ⋮ A distributionally robust optimization model for batch nonlinear switched time-delay system considering uncertain output measurements ⋮ Distributionally robust polynomial chance-constraints under mixture ambiguity sets ⋮ A Survey of Semidefinite Programming Approaches to the Generalized Problem of Moments and Their Error Analysis ⋮ Minimizing Rational Functions: A Hierarchy of Approximations via Pushforward Measures ⋮ A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems ⋮ Distributionally robust optimization with moment ambiguity sets
Uses Software
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