Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
From MaRDI portal
Publication:5085987
DOI10.1287/IJOC.2021.1096OpenAlexW4200501262MaRDI QIDQ5085987
Gábor Rudolf, Nilay Noyan, Miguel A. Lejeune
Publication date: 30 June 2022
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2021.1096
Wasserstein metricstochastic schedulingendogenous uncertaintyrobust schedulingnetwork interdictioncontrollable processing timesdistributionally robust optimizationrandom link failuresdecision-dependent ambiguitydecision-dependent probabilitiesEarth mover's distancesrobust pre-disasterrobustified risk
Related Items (5)
Frameworks and results in distributionally robust optimization ⋮ Robust and distributionally robust optimization models for linear support vector machine ⋮ A distributionally ambiguous two-stage stochastic approach for investment in renewable generation ⋮ Robust Optimization with Continuous Decision-Dependent Uncertainty with applications to demand response management ⋮ Robustness of stochastic programs with endogenous randomness via contamination
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Data-driven chance constrained stochastic program
- Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
- Kusuoka representations of coherent risk measures in general probability spaces
- Minimizing value-at-risk in single-machine scheduling
- Pre-disaster investment decisions for strengthening a highway network
- A class of stochastic programs with decision dependent random elements
- A hierarchy of relaxations and convex hull characterizations for mixed- integer zero-one programming problems
- Convex measures of risk and trading constraints
- Distributionally robust single machine scheduling with the total tardiness criterion
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- Distributionally robust single machine scheduling with risk aversion
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Likelihood robust optimization for data-driven problems
- Decision-dependent probabilities in stochastic programs with recourse
- Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
- A survey of scheduling with controllable processing times
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Ambiguous chance constrained problems and robust optimization
- A class of stochastic programs with decision dependent uncertainty
- Coherent Measures of Risk
- Exploiting Special Structures in Constructing a Hierarchy of Relaxations for 0-1 Mixed Integer Problems
- Stochastic Network Interdiction
- Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints
- Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures
- Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach
- Distributionally Robust Convex Optimization
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Distributionally Robust Optimization and Its Tractable Approximations
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
- Optimization under Decision-Dependent Uncertainty
- Approximations for Probability Distributions and Stochastic Optimization Problems
- Risk Averse Scheduling with Scenarios
- Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
- Exact Algorithms for Distributionally β-Robust Machine Scheduling with Uncertain Processing Times
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Variational Theory for Optimization under Stochastic Ambiguity
- Ambiguity in portfolio selection
- Scheduling
This page was built for publication: Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
