Distributionally robust optimization with principal component analysis
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Cites work
- scientific article; zbMATH DE number 995813 (Why is no real title available?)
- scientific article; zbMATH DE number 821286 (Why is no real title available?)
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Ambiguous chance constrained problems and robust optimization
- Chance-constrained optimal power flow: risk-aware network control under uncertainty
- Convex Approximations of Chance Constrained Programs
- Data-driven chance constrained stochastic program
- Distributionally Robust Convex Optimization
- Distributionally robust joint chance constraints with second-order moment information
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust stochastic knapsack problem
- Generalized Gauss inequalities via semidefinite programming
- Graph implementations for nonsmooth convex programs
- Lectures on stochastic programming. Modeling and theory.
- Maximum probability shortest path problem
- Models for minimax stochastic linear optimization problems with risk aversion
- On duality theory of conic linear problems.
- On reduced semidefinite programs for second order moment bounds with applications
- On sharpness of Tchebycheff-type inequalities
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Robust optimization
- Robust sensitivity analysis for stochastic systems
- Robust stabilization of uncertain linear systems: quadratic stabilizability and H/sup infinity / control theory
- Theory and applications of robust optimization
- Tractable robust expected utility and risk models for portfolio optimization
Cited in
(8)- Tight bounds for a class of data-driven distributionally robust risk measures
- Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity
- SOCP based variance free Dantzig selector with application to robust estimation
- Identifying critical demand scenarios for the robust capacitated network design problem using principal component analysis
- 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
- Frameworks and results in distributionally robust optimization
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