Distributionally robust optimization under moment uncertainty with application to data-driven problems
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Cited in
(only showing first 100 items - show all)- Data-driven robust chance constrained problems: a mixture model approach
- A note on distributionally robust optimization under moment uncertainty
- An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
- 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
- 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
- Incorporating model uncertainty into optimal insurance contract design
- Distributionally robust equilibrium for continuous games: Nash and Stackelberg models
- Supply chain network design under uncertainty: a comprehensive review and future research directions
- Data-driven robust optimization
- A review on ambiguity in stochastic portfolio 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
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Robust decision making using a general utility set
- Robust two-stage stochastic linear optimization with risk aversion
- Distributionally robust single machine scheduling with risk aversion
- Direct data-based decision making under uncertainty
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Robust sample average approximation
- Robust binary optimization using a safe tractable approximation
- Likelihood robust optimization for data-driven problems
- A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
- A dynamic game approach to distributionally robust safety specifications for stochastic systems
- Solving 0-1 semidefinite programs for distributionally robust allocation of surgery blocks
- Exact algorithms for the chance-constrained vehicle routing problem
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Newsvendor-type models with decision-dependent uncertainty
- Distributionally robust joint chance constraints with second-order moment information
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- A new distributionally robust \(p\)-hub median problem with uncertain carbon emissions and its tractable approximation method
- Distributionally robust simple integer recourse
- Distributionally robust scheduling on parallel machines under moment uncertainty
- Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
- Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- A distributionally robust optimization approach for stochastic elective surgery scheduling with limited intensive care unit capacity
- Distributionally robust facility location problem under decision-dependent stochastic demand
- Data-driven distributionally robust capacitated facility location problem
- Robust stochastic optimization with convex risk measures: a discretized subgradient scheme
- Multi-stage distributionally robust optimization with risk aversion
- Data-driven fuzzy preference analysis from an optimization perspective
- Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
- Distributionally robust last-train coordination planning problem with dwell time adjustment strategy
- A data-driven approach for a class of stochastic dynamic optimization problems
- Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties
- Energy and reserve dispatch with distributionally robust joint chance constraints
- On the power of static assignment policies for robust facility location problems
- Two-stage distributionally robust mixed-integer optimization model for three-level location-allocation problems under uncertain environment
- Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Distributionally robust optimization. A review on theory and applications
- A two-stage robust approach to integrated station location and rebalancing vehicle service design in bike-sharing systems
- Data-driven stochastic optimization for distributional ambiguity with integrated confidence region
- A multivariate Chebyshev bound of the Selberg form
- Approximation approach for robust vessel fleet deployment problem with ambiguous demands
- Integrating unimodality into distributionally robust optimal power flow
- Bootstrap robust prescriptive analytics
- Distributionally robust stochastic programs with side information based on trimmings
- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- Distributionally robust bottleneck combinatorial problems: uncertainty quantification and robust decision making
- Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets
- A study of data-driven distributionally robust optimization with incomplete joint data under finite support
- Distributionally robust multi-period location-allocation with multiple resources and capacity levels in humanitarian logistics
- Resource distribution under spatiotemporal uncertainty of disease spread: stochastic versus robust approaches
- Distributionally robust optimization with moment ambiguity sets
- Toward theoretical understandings of robust Markov decision processes: sample complexity and asymptotics
- Tight bounds for a class of data-driven distributionally robust risk measures
- A network sensor location problem for link flow observability and estimation
- Optimized Bonferroni approximations of distributionally robust joint chance constraints
- Risk and complexity in scenario optimization
- Distributionally-robust machine learning using locally differentially-private data
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Eco-friendly container transshipment route scheduling problem with repacking operations
- Berth allocation and quay crane assignment/scheduling problem under uncertainty: a survey
- Robust international portfolio optimization with worst-case mean-CVaR
- Optimization and operations research in mitigation of a pandemic
- Robust grouped variable selection using distributionally robust optimization
- The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors
- Robust linear classification from limited training data
- Frameworks and results in distributionally robust optimization
- Capital asset pricing model under distribution uncertainty
- Partition-based distributionally robust optimization via optimal transport with order cone constraints
- Dynamic optimization with side information
- A data-driven approach for supply chain network design under uncertainty with consideration of social concerns
- Confidence analysis of linear unbiased estimates under uncertain unimodal noise distributions
- Polyhedral coherent risk measures and robust optimization
- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- A distributionally robust optimization approach for two-stage facility location problems
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