A linearizing method for distributionally robust optimization problem and applications

MaRDI QIDQ2859874zbMATH OpenFDO

Authors Ying Ji, Yijun Li, Pengyu Lu, Yong Zhou

Publication date 19 November 2013

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

zbMATH Keywords

distributionally robust optimizationmax-min problemportfolio managementsemi-infinite programminguncertain conditions

Mathematics Subject Classification ID

Semi-infinite programming (90C34) Minimax problems in mathematical programming (90C47)

Recommendations

• Distributionally robust optimization and its tractable approximations
• scientific article; zbMATH DE number 7652673
• Distribution-dependent robust linear optimization with applications to inventory control
• Distributionally Robust Convex Optimization
• Distributionally robust optimization with moment ambiguity sets

Cited in

(6)

• Distributionally robust mixed integer linear programs: persistency models with applications
• Distributionally robust optimization and its tractable approximations
• The study of stochastic optimization for linear decision rule in a class distributionally robustness
• Linearized Robust Counterparts of Two-Stage Robust Optimization Problems with Applications in Operations Management
• Distributionally Robust Linear and Discrete Optimization with Marginals
• An Approximation Scheme for Distributionally Robust Nonlinear Optimization

This page was built for publication: A linearizing method for distributionally robust optimization problem and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2859874)