Distributionally robust optimization

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10.1162/153244303321897726
A Conic Programming Approach to Generalized Tchebycheff Inequalities
A General Qualitative Definition of Robustness
A MEAN–VARIANCE BOUND FOR A THREE-PIECE LINEAR FUNCTION
A One-Sided Inequality of the Chebyshev Type
A Pareto dominance principle for data-driven optimization
A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
A Stochastic Subgradient Method for Nonsmooth Nonconvex Multilevel Composition Optimization
A Survey of the S-Lemma
A Tchebysheff-Type Bound on the Expectation of Sublinear Polyhedral Functions
A bandwidth expanding scheme for communication channels with noiseless feedback in the presence of unknown jamming noise
A class of Wasserstein metrics for probability distributions
A comment on ``Computational complexity of stochastic programming problems
A complete characterization of minimax and maximin encoder- decoder policies for communication channels with incomplete statistical description
A distributional interpretation of robust optimization
A distributionally robust optimization approach for outpatient colonoscopy scheduling
A distributionally robust perspective on uncertainty quantification and chance constrained programming
A dynamic game approach to distributionally robust safety specifications for stochastic systems
A dynamic mechanism and surplus extraction under ambiguity
A framework for optimization under ambiguity
A mean curvature flow arising in adversarial training
A new polynomial-time algorithm for linear programming
A numerical method for solving stochastic programming problems with moment constraints on a distribution function
A robust learning approach for regression models based on distributionally robust optimization
A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
A semidefinite programming approach to the generalized problem of moments
A short and general duality proof for Wasserstein distributionally robust optimization
A simple proof of the blowing-up lemma (Corresp.)
A stochastic subgradient method for distributionally robust non-convex and non-smooth learning
A survey of adjustable robust optimization
A tight upper bound for the expectation of a convex function of a multivariate random variable
A treatise on probability.
A two-person dynamic equilibrium under ambiguity
A unified theory of robust and distributionally robust optimization via the primal-worst-equals-dual-best principle
AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
Advanced Lectures on Machine Learning
Adversarial Risk via Optimal Transport and Optimal Couplings
Adversarial classification via distributional robustness with Wasserstein ambiguity
Algorithmic High-Dimensional Robust Statistics
Ambiguity aversion in first-price sealed-bid auctions
Ambiguity aversion in the field of insurance: Insurers' attitude to imprecise and conflicting probability estimates
Ambiguity in portfolio selection
Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information
Ambiguous Risk Measures and Optimal Robust Portfolios
Ambiguous chance constrained problems and robust optimization
Ambiguous risk constraints with moment and unimodality information
An Analytical and Geometric Perspective on Adversarial Robustness
An Approximation Scheme for Distributionally Robust Nonlinear Optimization
An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
An approximation scheme for distributionally robust PDE-constrained optimization
An axiomatic approach to $\varepsilon$-contamination
An extension of Sion's minimax theorem with an application to a method for constrained games
An invitation to statistics in Wasserstein space
Applications of stochastic programming under incomplete information
Asymptotic Behavior of Optimal Solutions in Stochastic Programming
Asymptotic Statistics
Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
Asymptotic analysis of stochastic programs
Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
Asymptotic evaluation of certain markov process expectations for large time. IV
Asymptotic probabilities and differential equations
Asymptotic properties of statistical estimators in stochastic programming
Asymptotics for transportation cost in high dimensions
Bayesian Distributionally Robust Optimization
Bootstrap robust prescriptive analytics
Bounds for functions of multivariate risks
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Bounds on measures satisfying moment conditions.
Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization
Calibration of distributionally robust empirical optimization models
Certainty equivalents and information measures: Duality and extremal principles
Chance-constrained set covering with Wasserstein ambiguity
Chebyshev inequalities for products of random variables
Choice Prediction With Semidefinite Optimization When Utilities are Correlated
Coherent measures of risk
Computational complexity of stochastic programming problems
Computationally tractable counterparts of distributionally robust constraints on risk measures
Concentration inequalities. A nonasymptotic theory of independence
Confidence regions in Wasserstein distributionally robust estimation
Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
Constructing Risk Measures from Uncertainty Sets
Constructive quantization: approximation by empirical measures
Controlling risk and demand ambiguity in newsvendor models
Convergence analysis of a family of robust Kalman filters based on the contraction principle
Convergence of the empirical measure in expected wasserstein distance: non-asymptotic explicit bounds in ℝ^d
Convex Analysis
Convex Approximations of Chance Constrained Programs
Convex optimal uncertainty quantification
Convexity and decomposition of mean-risk stochastic programs
Convolution bounds on quantile aggregation
Cooperative Data-Driven Distributionally Robust Optimization
Cutting-set methods for robust convex optimization with pessimizing oracles
Data Assimilation and Online Optimization With Performance Guarantees
Data-Driven Ambiguity Sets With Probabilistic Guarantees for Dynamic Processes
Data-driven chance constrained stochastic program
Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
Data-driven inverse optimization with imperfect information
Data-driven risk-averse stochastic optimization with Wasserstein metric
Data-driven robust optimization
Data-driven robust optimization using deep neural networks
Deriving robust counterparts of nonlinear uncertain inequalities
Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
Discrete Optimal Transport with Independent Marginals is #P-Hard
Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
Distributionally Robust Chance Constrained Data-Enabled Predictive Control
Distributionally Robust Control of Constrained Stochastic Systems
Distributionally Robust Convex Optimization
Distributionally Robust Inventory Control When Demand Is a Martingale
Distributionally Robust Linear and Discrete Optimization with Marginals
Distributionally Robust Losses for Latent Covariate Mixtures
Distributionally Robust Stochastic Dual Dynamic Programming
Distributionally Robust Stochastic Optimization with Wasserstein Distance
Distributionally robust SDDP
Distributionally robust chance constraints for non-linear uncertainties
Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
Distributionally robust expectation inequalities for structured distributions
Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
Distributionally robust joint chance constraints with second-order moment information
Distributionally robust model predictive control: closed-loop guarantees and scalable algorithms
Distributionally robust multi-item newsvendor problems with multimodal demand distributions
Distributionally robust observable strategic queues
Distributionally robust optimal allocation with costly verification
Distributionally robust optimization under distorted expectations
Distributionally robust optimization under moment uncertainty with application to data-driven problems
Distributionally robust optimization with infinitely constrained ambiguity sets
Distributionally robust partially observable Markov decision process with moment-based ambiguity
Distributionally robust polynomial chance-constraints under mixture ambiguity sets
Distributionally robust stochastic knapsack problem
Distributionally robust stochastic programming
Distributionally robust stochastic programs with side information based on trimmings
Duality in robust optimization: Primal worst equals dual best
Dynamic programming in probability spaces via optimal transport
Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
Efficient Learning of a Linear Dynamical System With Stability Guarantees
Efficient data-driven optimization with noisy data
Elements of Information Theory
Empirical likelihood
Empirical likelihood for linear models
Empirical likelihood ratio confidence intervals for a single functional
Empirical likelihood ratio confidence regions
Energy and reserve dispatch with distributionally robust joint chance constraints
Entropic value-at-risk: a new coherent risk measure
Epi‐consistency of convex stochastic programs
Evaluations of risk measures for different probability measures
Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
Expected Value of Distribution Information for the Newsvendor Problem
Exploiting problem structure in optimization under uncertainty via online convex optimization
Extreme points of a ball about a measure with finite support
FAST—Fast Algorithm for the Scenario Technique
Finite-Sample Guarantees for Wasserstein Distributionally Robust Optimization: Breaking the Curse of Dimensionality
First-order algorithms for robust optimization problems via convex-concave saddle-point Lagrangian reformulation
Formulation and properties of a divergence used to compare probability measures without absolute continuity
Foundations of Modern Probability
Frameworks and results in distributionally robust optimization
From CVaR to uncertainty set: implications in joint chance-constrained optimization
Functional analysis, Sobolev spaces and partial differential equations
G-Gaussian processes under sublinear expectations and $q $-Brownian motion in quantum mechanics
Generalized Gauss inequalities via semidefinite programming
Generalized bounds for convex multistage stochastic programs.
Generalized deviations in risk analysis
Generalized resilience and robust statistics
Global optimization with polynomials and the problem of moments
Gradient flows in metric spaces and in the space of probability measures
Généralisations du théorème des probabilités totales.
Handbook of uncertainty quantification. In 2 volumes
High-dimensional probability. An introduction with applications in data science
High-dimensional statistics. A non-asymptotic viewpoint
Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
Inequalities for distributions with given marginals
Information, divergence and risk for binary experiments
Introduction to Online Convex Optimization
Introduction to stochastic programming.
Investigations on continued fractions
Learning models with uniform performance via distributionally robust optimization
Learning with submodular functions: a convex optimization perspective
Lectures on Stochastic Programming
Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
Leçons sur les fonctions discontinues.
Likelihood robust optimization for data-driven problems
Linear programming under uncertainty
MAD dispersion measure makes extremal queue analysis simple
Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
Matrix mathematics. Theory, facts, and formulas
Maxmin expected utility with non-unique prior
Mean robust optimization
Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
Minimax Robust Hypothesis Testing
Minimax analysis of stochastic problems
Minimax terminal state estimation for linear plants with unknown forcing functions†
Mixed 0-1 Linear Programs Under Objective Uncertainty: A Completely Positive Representation
Models for minimax stochastic linear optimization problems with risk aversion
Momentprobleme für ein endliches Intervall.
Moments of non-negative mass
More bounds on the expectation of a convex function of a random variable
Multi-marginal optimal transport: theory and applications
Multiple kernel learning-aided robust optimization: learning algorithm, computational tractability, and usage in multi-stage decision-making
Multistage stochastic optimization
Multivariate Spectral Estimation Based on the Concept of Optimal Prediction
NON-NORMALITY AND TESTS ON VARIANCES
Neural Network Learning
Nonlinear distributionally robust optimization
Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming
On Kusuoka representation of law invariant risk measures
On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces
On a minimax estimate for the mean of a normal random vector under a generalized quadratic loss function
On certain fundamental principles of scientific inquiry.
On differential stability in stochastic programming
On distributionally robust chance constrained programs with Wasserstein distance
On distributionally robust chance-constrained linear programs
On distributionally robust extreme value analysis
On distributionally robust multiperiod stochastic optimization
On duality theory of conic linear problems.
On general minimax theorems
On limit values of integrals.
On linear optimization over Wasserstein balls
On optimal matchings
On sharpness of Tchebycheff-type inequalities
On the Bures-Wasserstein distance between positive definite matrices
On the Relation Between Option and Stock Prices: A Convex Optimization Approach
On the complexity of nonoverlapping multivariate marginal bounds for probabilistic combinatorial optimization problems
On the extreme points of moments sets
On the heavy-tail behavior of the distributionally robust newsvendor
On the mean speed of convergence of empirical and occupation measures in Wasserstein distance
On the rate of convergence in Wasserstein distance of the empirical measure
On the regularized risk of distributionally robust learning over deep neural networks
On the robustness of second-price auctions in prior-independent mechanism design
On the robustness of the Bayes and Wiener estimators under model uncertainty
On universal hypotheses testing via large deviations
Online first-order framework for robust convex optimization
Online learning and online convex optimization
Optimal Inequalities in Probability Theory: A Convex Optimization Approach
Optimal design for multi-item auctions: a robust optimization approach
Optimal transport-based distributionally robust optimization: structural properties and iterative schemes
Optimal uncertainty quantification
Optimization of Convex Risk Functions
Optimization under probabilistic envelope constraints
Optimized Bonferroni approximations of distributionally robust joint chance constraints
Optimizing distortion riskmetrics with distributional uncertainty
Optimum Fisherian information for multivariate distributions
Optimum coding and decoding schemes for the transmission of a stochastic process over a continuous-time stochastic channel with partially unknown statisticst^†
Oracle inequalities in empirical risk minimization and sparse recovery problems. École d'Été de Probabilités de Saint-Flour XXXVIII-2008.
Oracle-based robust optimization via online learning
Parameterfreie Abschätzung und Realisierung von Erwartungswerten
Pattern recognition and machine learning.
Performance Bounds for the Scenario Approach and an Extension to a Class of Non-Convex Programs
Persistence in discrete optimization under data uncertainty
Persistency model and its applications in choice modeling
Polar factorization and monotone rearrangement of vector‐valued functions
Polynomial-time algorithms for multimarginal optimal transport problems with structure
Portfolio selection with robust estimation
Probabilistic Combinatorial Optimization: Moments, Semidefinite Programming, and Asymptotic Bounds
Probabilistic guarantees in robust optimization
Probabilistic satisfiability
Quantifying distributional model risk via optimal transport
Quantitative concentration inequalities for empirical measures on non-compact spaces
Quantitative risk management. Concepts, techniques and tools
Random convex programs with L₁-regularization: sparsity and generalization
Random variables, monotone relations, and convex analysis
Randomized solutions to convex programs with multiple chance constraints
Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
Regret in the Newsvendor Model with Partial Information
Regularization for Wasserstein distributionally robust optimization
Regularization via mass transportation
Representation results for law invariant time consistent functions
Research on probabilistic methods for control system design
Risk tuning with generalized linear regression
Risk, ambiguity and the Savage axioms
Risk-averse two-stage stochastic program with distributional ambiguity
Robust CARA optimization
Robust Estimation of a Location Parameter
Robust Hypothesis Testing With a Relative Entropy Tolerance
Robust Kalman Filtering Under Model Perturbations
Robust Kullback-Leibler Divergence and Universal Hypothesis Testing for Continuous Distributions
Robust Least-Squares Estimation With a Relative Entropy Constraint
Robust Markov Decision Processes
Robust Mean-Covariance Solutions for Stochastic Optimization
Robust Solutions to Least-Squares Problems with Uncertain Data
Robust Solutions to Uncertain Semidefinite Programs
Robust State Space Filtering Under Incremental Model Perturbations Subject to a Relative Entropy Tolerance
Robust Statistics
Robust Truss Topology Design via Semidefinite Programming
Robust W-GAN-based estimation under Wasserstein contamination
Robust Wasserstein profile inference and applications to machine learning
Robust confidence limits
Robust convex optimization
Robust discrete optimization and its applications
Robust empirical optimization is almost the same as mean-variance optimization
Robust estimators in high-dimensions without the computational intractability
Robust multidimensional pricing: separation without regret
Robust optimization
Robust optimization with ambiguous stochastic constraints under mean and dispersion information
Robust optimization with moment-dispersion ambiguity
Robust optimization-methodology and applications
Robust sample average approximation
Robust sensitivity analysis for stochastic systems
Robust solutions of linear programming problems contaminated with uncertain data
Robust solutions of uncertain linear programs
Robustifying conditional portfolio decisions via optimal transport
Robustifying convex risk measures for linear portfolios: a nonparametric approach
Robustness
Robustness and regularization of support vector machines
Robustness and separation in multidimensional screening
Robustness to dependency in portfolio optimization using overlapping marginals
Sample out-of-sample inference based on Wasserstein distance
Screening with limited information: a dual perspective
Search and Knightian uncertainty
Second order cone programming formulations for feature selection
Second-Order Lower Bounds on the Expectation of a Convex Function
Second-order bounds for the M/M/s queue with random arrival rate
Semi-discrete optimal transport: hardness, regularization and numerical solution
Semidefinite programming relaxations for semialgebraic problems
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Separation in correlation-robust monopolist problem with budget
Sharp asymptotic and finite-sample rates of convergence of empirical measures in Wasserstein distance
Sharp bounds for sums of dependent risks
Solution of a statistical optimization problem by rearrangement methods
Solutions to a class of minimax decision problems arising in communication systems
Sparse optimization on measures with over-parameterized gradient descent
Statistics of robust optimization: a generalized empirical likelihood approach
Stochastic Optimization Problems with Incomplete Information on Distribution Functions
Stochastic two-stage programming
Strong convexity of sandwiched entropies and related optimization problems
Submodular functions: from discrete to continuous domains
Sur les fonctions convexes et les inégalités entre les valeurs moyennes.
Sur un nouveau théorème-limite de la théorie des probabilités.
TIGHT BOUNDS ON EXPECTED ORDER STATISTICS
Tail analysis without parametric models: a worst-case perspective
Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
Technical Note—Data-Driven Chance Constrained Programs over Wasserstein Balls
Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
Technical note -- two-stage sample robust optimization
Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
Testing the universal instance assumption
The \infty-Wasserstein Distance: Local Solutions and Existence of Optimal Transport Maps
The Cutting-Plane Method for Solving Convex Programs
The Distribution Free Newsboy Problem: Review and Extensions
The Elements of Statistical Learning
The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
The Existence of Probability Measures with Given Marginals
The Frechet distance between multivariate normal distributions
The Gaussian test channel with an intelligent jammer
The Price of Robustness
The Scenario Approach to Robust Control Design
The Speed of Mean Glivenko-Cantelli Convergence
The $L^\infty$ optimal transport: infinite cyclical monotonicity and the existence of optimal transport maps
The ``automatic robustness of minimum distance functionals
The complete mixability and convex minimization problems with monotone marginal densities
The distance between two random vectors wigh given dispersion matrices
The empirical likelihood approach to quantifying uncertainty in sample average approximation
The extrema of probability determined by generalized moments. I: Bounded random variables
The geometry of adversarial training in binary classification
The many faces of adversarial risk: an expanded study
The minimax approach to stochastic programming and an illustrative application
The minimum error minimax probability machine
Theoretical and computational guarantees of mean field variational inference for community detection
Theory and applications of robust optimization
Tight bounds for some risk measures, with applications to robust portfolio selection
Time (in)consistency of multistage distributionally robust inventory models with moment constraints
Tractable reformulations of two-stage distributionally robust linear programs over the type-$\infty$ Wasserstein ball
Tractable robust expected utility and risk models for portfolio optimization
Transportation cost for Gaussian and other product measures
Uncertain convex programs: randomized solutions and confidence levels
Understanding machine learning. From theory to algorithms
Variance-based regularization with convex objectives
Wait-and-judge scenario optimization
Wasserstein Distributionally Robust Stochastic Control: A Data-Driven Approach
Wasserstein distributionally robust control of partially observable linear stochastic systems
Wasserstein distributionally robust optimization and variation regularization
Wasserstein metric and subordination
Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
G-expectation, G-Brownian motion and related stochastic calculus of Itô type
$H^ \infty$-optimal control and related minimax design problems. A dynamic game approach.
Über eine Erweiterung des Stieltjesschen Momentenproblems.
Über homogene Polynome in ($L^{2}$)

Cited in

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Distributionally robust optimal uncertainty quantification under Phi-divergence ambiguity
Robust policies for a multi-period fleet sizing problem with demand uncertainty
Tailored Benders decomposition for two-stage distributionally robust combinatorial optimisation
Recognizing and hedging uncertainty by novel integrated algorithms: validated by data-driven robust optimization
Convexification of fractional distributionally robust probability maximization problems under phi-divergence ambiguity
Distributionally robust fractional optimization of probability of exceedance
Convergent lifted Lasserre hierarchy of SDPs for minimizing expectation of piecewise polynomial loss over Wasserstein balls
Robust counterfactual explanations in classification and regression

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