Distributionally Robust Optimization with Principal Component Analysis

DOI10.1137/16M1075910zbMath1400.90231WikidataQ129726801 ScholiaQ129726801MaRDI QIDQ4571880

Cosmin Safta, Habib N. Najm, Jean-Paul Watson, Richard Li-Yang Chen, Jianqiang Cheng, Ali Pınar

Publication date: 3 July 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic programmingsemidefinite programmingprincipal component analysisdistributionally robust optimization

Mathematics Subject Classification ID

Semidefinite programming (90C22) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (6)

Frameworks and results in distributionally robust optimization ⋮ Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity ⋮ Globalized distributionally robust optimization based on samples ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Distributionally robust optimization. A review on theory and applications ⋮ Tight bounds for a class of data-driven distributionally robust risk measures

Uses Software

• CVX

Cites Work

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