Distributionally Robust Optimization and Its Tractable Approximations
From MaRDI portal
Publication:3098284
DOI10.1287/OPRE.1090.0795zbMath1228.90067OpenAlexW2119303899WikidataQ90415476 ScholiaQ90415476MaRDI QIDQ3098284
Publication date: 17 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1090.0795
Related Items (only showing first 100 items - show all)
Mathematical programming methods for microgrid design and operations: a survey on deterministic and stochastic approaches ⋮ The worst-case discounted regret portfolio optimization problem ⋮ Distributionally robust mixed integer linear programs: persistency models with applications ⋮ Process Flexibility: A Distribution-Free Bound on the Performance of k-Chain ⋮ Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization ⋮ A robust optimization approach to diet problem with overall glycemic load as objective function ⋮ A largest empty hypersphere metaheuristic for robust optimisation with implementation uncertainty ⋮ Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods ⋮ K-Adaptability in Two-Stage Robust Binary Programming ⋮ New reformulations of distributionally robust shortest path problem ⋮ Robust grouped variable selection using distributionally robust optimization ⋮ Robust linear classification from limited training data ⋮ Frameworks and results in distributionally robust optimization ⋮ A polynomial-time solution scheme for quadratic stochastic programs ⋮ Tractable reformulations of two-stage distributionally robust linear programs over the type-\(\infty\) Wasserstein ball ⋮ Distributionally robust fault detection design and assessment for dynamical systems ⋮ On the complexity of min-max-min robustness with two alternatives and budgeted uncertainty ⋮ A robust optimization approach to dispatching technicians under stochastic service times ⋮ An approach to the distributionally robust shortest path problem ⋮ A value function-based approach for robust surgery planning ⋮ Stochastic optimization approaches for elective surgery scheduling with downstream capacity constraints: models, challenges, and opportunities ⋮ Incorporating model uncertainty into optimal insurance contract design ⋮ Robust and distributionally robust optimization models for linear support vector machine ⋮ Robust design of service systems with immobile servers under demand uncertainty ⋮ Distributionally robust optimization with polynomial densities: theory, models and algorithms ⋮ Risk bounded nonlinear robot motion planning with integrated perception \& control ⋮ Distributions with maximum spread subject to Wasserstein distance constraints ⋮ A class of two-stage distributionally robust games ⋮ Distributionally robust reinsurance with value-at-risk and conditional value-at-risk ⋮ Unnamed Item ⋮ Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models ⋮ Supply chain network design under uncertainty: a comprehensive review and future research directions ⋮ \(K\)-adaptability in two-stage mixed-integer robust optimization ⋮ Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs ⋮ Binary decision rules for multistage adaptive mixed-integer optimization ⋮ On the multistage shortest path problem under distributional uncertainty ⋮ Two-stage distributionally robust optimization model for warehousing-transportation problem under uncertain environment ⋮ A constraint sampling approach for multi-stage robust optimization ⋮ Robust post-disaster route restoration ⋮ A unified framework for stochastic optimization ⋮ A perfect information lower bound for robust lot-sizing problems ⋮ Multipolar robust optimization ⋮ Risk and Utility in the Duality Framework of Convex Analysis ⋮ A Brief Overview of Interdiction and Robust Optimization ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Risk-averse model predictive control ⋮ Distributionally robust multi-item newsvendor problems with multimodal demand distributions ⋮ Generalized decision rule approximations for stochastic programming via liftings ⋮ A survey of adjustable robust optimization ⋮ Multistage robust mixed-integer optimization under endogenous uncertainty ⋮ Multi-period dynamic distributionally robust pre-positioning of emergency supplies under demand uncertainty ⋮ Compromise solutions for robust combinatorial optimization with variable-sized uncertainty ⋮ A utility theory based interactive approach to robustness in linear optimization ⋮ Decision rule approximations for the risk averse reservoir management problem ⋮ Robust unit commitment with \(n-1\) security criteria ⋮ Recent advances in robust optimization: an overview ⋮ The decision rule approach to optimization under uncertainty: methodology and applications ⋮ The value of the right distribution in stochastic programming with application to a Newsvendor problem ⋮ Unnamed Item ⋮ Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems ⋮ Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations ⋮ Robust binary optimization using a safe tractable approximation ⋮ A stochastic program with time series and affine decision rules for the reservoir management problem ⋮ Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization ⋮ Multiple kernel learning-aided robust optimization: learning algorithm, computational tractability, and usage in multi-stage decision-making ⋮ Data-driven distributionally robust capacitated facility location problem ⋮ Decomposition for adjustable robust linear optimization subject to uncertainty polytope ⋮ A Robust Optimization Model for Managing Elective Admission in a Public Hospital ⋮ Robust worst-case optimal investment ⋮ Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems ⋮ New safe approximation of ambiguous probabilistic constraints for financial optimization problem ⋮ Generalized Bounded Rationality and Robust Multicommodity Network Design ⋮ Robust Defibrillator Deployment Under Cardiac Arrest Location Uncertainty via Row-and-Column Generation ⋮ Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information ⋮ Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls ⋮ Adjustable Robust Optimization via Fourier–Motzkin Elimination ⋮ Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity ⋮ Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees ⋮ Robust Quadratic Programming with Mixed-Integer Uncertainty ⋮ A data-driven approach for a class of stochastic dynamic optimization problems ⋮ Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties ⋮ Distributionally robust \(L_1\)-estimation in multiple linear regression ⋮ Robust Sensitivity Analysis for Stochastic Systems ⋮ Robust MDPs with k-Rectangular Uncertainty ⋮ Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization ⋮ KDE distributionally robust portfolio optimization with higher moment coherent risk ⋮ A multi-objective distributionally robust model for sustainable last mile relief network design problem ⋮ Distributionally robust optimization. A review on theory and applications ⋮ A new approach for worst-case regret portfolio optimization problem ⋮ Environmental game modeling with uncertainties ⋮ A two-stage robust approach to integrated station location and rebalancing vehicle service design in bike-sharing systems ⋮ The Discrete Moment Problem with Nonconvex Shape Constraints ⋮ Data-driven stochastic optimization for distributional ambiguity with integrated confidence region ⋮ Moreau Envelope of Supremum Functions with Applications to Infinite and Stochastic Programming ⋮ Kernel density estimation based distributionally robust mean-CVaR portfolio optimization ⋮ Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets ⋮ Probabilistic Guarantees in Robust Optimization ⋮ Distributionally robust multi-period location-allocation with multiple resources and capacity levels in humanitarian logistics ⋮ On distributionally robust multiperiod stochastic optimization ⋮ Risk and complexity in scenario optimization
Uses Software
This page was built for publication: Distributionally Robust Optimization and Its Tractable Approximations
