Globalized distributionally robust optimization with multi core sets

DOI10.1007/S10957-025-02740-2MaRDI QIDQ6952225zbMATH OpenFDO

Authors Yueyao Li, Chenglong Bao, Wenxun Xing

Publication date 28 July 2025

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10957-025-02740-2

zbMATH Keywords

semi-definite programdistributionally robust optimizationmultimodal distributioncore setcomputationally solvable

Mathematics Subject Classification ID

Semidefinite programming (90C22) Stochastic programming (90C15) Robustness in mathematical programming (90C17)

Cites work

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• On distributionally robust chance constrained programs with Wasserstein distance
• On duality theory of conic linear problems.
• Robust optimization for the loss-averse newsvendor problem
• Worst-case CVaR based portfolio optimization models with applications to scenario planning

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