Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
From MaRDI portal
Publication:3098258
DOI10.1287/opre.1090.0741zbMath1228.90064OpenAlexW1968355947WikidataQ84267492 ScholiaQ84267492MaRDI QIDQ3098258
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.1090.0741
Related Items (only showing first 100 items - show all)
A survey of nonlinear robust optimization ⋮ Generalization bounds for regularized portfolio selection with market side information ⋮ Distributionally Robust Joint Chance Constrained Vessel Fleet Deployment Problem ⋮ Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ A distributionally ambiguous two-stage stochastic approach for investment in renewable generation ⋮ Data-driven integrated home service staffing and capacity planning: stochastic optimization approaches ⋮ Distributionally robust unsupervised domain adaptation ⋮ Sharing the value‐at‐risk under distributional ambiguity ⋮ Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach ⋮ Contextual robust optimisation with uncertainty quantification ⋮ Soft robust solutions to possibilistic optimization problems ⋮ Distributionally robust possibilistic optimization problems ⋮ Distributionally robust end-to-end portfolio construction ⋮ Decision bounding problems for two-stage distributionally robust stochastic bilevel optimization ⋮ Robust optimization for spread quality and shortfall in guaranteed targeted display advertising planning ⋮ Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning ⋮ Distributionally robust trade‐off design of parity relation based fault detection systems ⋮ Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric ⋮ A modified exchange algorithm for distributional robust optimization and applications in risk management ⋮ Safe, learning-based MPC for highway driving under Lane-change uncertainty: a distributionally robust approach ⋮ Stochastic crowd shipping last-mile delivery with correlated marginals and probabilistic constraints ⋮ Emergency medical service location problem based on physical bounds using chance-constrained programming approach ⋮ Single machine scheduling with release dates: a distributionally robust approach ⋮ Moving from linear to conic markets for electricity ⋮ Data-driven remanufacturing planning with parameter uncertainty ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Distributionally robust expected residual minimization for stochastic variational inequality problems ⋮ Bayesian Distributionally Robust Optimization ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Robust optimization with belief functions ⋮ Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric ⋮ Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization ⋮ Distributionally robust optimization by probability criterion for estimating a bounded signal ⋮ Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball ⋮ Service center location problems with decision dependent utilities and a pandemic case study ⋮ Mitigating the COVID‐19 pandemic through data‐driven resource sharing ⋮ Distributionally robust joint chance-constrained programming: Wasserstein metric and second-order moment constraints ⋮ Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens ⋮ Polyhedral coherent risk measure and distributionally robust portfolio optimization ⋮ Robust chance-constrained geometric programming with application to demand risk mitigation ⋮ Wasserstein distributionally robust chance-constrained program with moment information ⋮ Unnamed Item ⋮ Worst-case moments under partial ambiguity ⋮ Distributionally robust Weber problem with uncertain demand ⋮ Distributionally risk‐receptive and risk‐averse network interdiction problems with general ambiguity set ⋮ Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data ⋮ A distributionally robust chance-constrained model for humanitarian relief network design ⋮ Distributionally Robust Strategy Synthesis for Switched Stochastic Systems ⋮ Globalized distributionally robust optimization based on samples ⋮ Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints ⋮ Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems ⋮ Robust Actuarial Risk Analysis ⋮ Distributionally robust chance constraints for non-linear uncertainties ⋮ Solution Approaches to Linear Fractional Programming and Its Stochastic Generalizations Using Second Order Cone Approximations ⋮ A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems ⋮ Approximation algorithms for cost-robust discrete minimization problems based on their LP-relaxations ⋮ Stochastic Superiority Equilibrium in Game Theory ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale ⋮ Distributionally Robust Chance Constrained Geometric Optimization ⋮ Learning models with uniform performance via distributionally robust optimization ⋮ Robust portfolio optimization: a categorized bibliographic review ⋮ Minimax linear estimation with the probability criterion under unimodal noise and bounded parameters ⋮ Robust scenario-based value-at-risk optimization ⋮ Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity ⋮ Constrained incremental bundle method with partial inexact oracle for nonsmooth convex semi-infinite programming problems ⋮ Data-driven robust chance constrained problems: a mixture model approach ⋮ A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty ⋮ Distributionally robust mixed integer linear programs: persistency models with applications ⋮ Two-stage stochastic linear programs with incomplete information on uncertainty ⋮ A note on distributionally robust optimization under moment uncertainty ⋮ An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information ⋮ Uplink scheduling for joint wireless orthogonal frequency and time division multiple access networks ⋮ Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization ⋮ A framework for sensitivity analysis of decision trees ⋮ Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods ⋮ Network design in scarce data environment using moment-based distributionally robust optimization ⋮ New reformulations of distributionally robust shortest path problem ⋮ Delegated portfolio management under ambiguity aversion ⋮ A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints ⋮ Distributionally robust chance constrained problem under interval distribution information ⋮ A robust optimization approach to dispatching technicians under stochastic service times ⋮ Portfolio value-at-risk optimization for asymmetrically distributed asset returns ⋮ Incorporating model uncertainty into optimal insurance contract design ⋮ Distributionally robust equilibrium for continuous games: Nash and Stackelberg models ⋮ Models and algorithms for distributionally robust least squares problems ⋮ Newsvendor-type models with decision-dependent uncertainty ⋮ Supply chain network design under uncertainty: a comprehensive review and future research directions ⋮ Distributionally robust joint chance constraints with second-order moment information ⋮ Data-driven robust optimization ⋮ Portfolio selection under model uncertainty: a penalized moment-based optimization approach ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ Moment inequalities for sums of random matrices and their applications in optimization ⋮ Ambiguous risk constraints with moment and unimodality information ⋮ Distributionally robust expectation inequalities for structured distributions ⋮ Identifying effective scenarios in distributionally robust stochastic programs with total variation distance ⋮ The distributionally robust optimization reformulation for stochastic complementarity problems ⋮ Distributionally robust appointment scheduling with moment-based ambiguity set ⋮ The empirical likelihood approach to quantifying uncertainty in sample average approximation ⋮ Primal-dual hybrid gradient method for distributionally robust optimization problems ⋮ A general solution for robust linear programs with distortion risk constraints
Uses Software
This page was built for publication: Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
