Mean robust optimization
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Cites work
- A class of Wasserstein metrics for probability distributions
- A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
- A distributional interpretation of robust optimization
- A unified theory of robust and distributionally robust optimization via the primal-worst-equals-dual-best principle
- Algorithm AS 136: A K-Means Clustering Algorithm
- An elementary proof of the triangle inequality for the Wasserstein metric
- An exact algorithm for the capacitated facility location problems with single sourcing
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Data-driven robust optimization
- Deriving robust counterparts of nonlinear uncertain inequalities
- Discrete approximation scheme in distributionally robust optimization
- Distributionally Robust Convex Optimization
- Distributionally robust joint chance constraints with second-order moment information
- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally Robust Stochastic Optimization with Wasserstein Distance
- First-order methods in optimization
- Likelihood robust optimization for data-driven problems
- On the rate of convergence in Wasserstein distance of the empirical measure
- On the Rate of Convergence of Empirical Measures in ∞-transportation Distance
- Optimization-Based Scenario Reduction for Data-Driven Two-Stage Stochastic Optimization
- Partition-based distributionally robust optimization via optimal transport with order cone constraints
- Probabilistic guarantees in robust optimization
- Reducing Conservatism in Robust Optimization
- Robust optimization
- Robust solutions of linear programming problems contaminated with uncertain data
- Scenario reduction in stochastic programming
- Scenario reduction revisited: fundamental limits and guarantees
- Selected topics in robust convex optimization
- Statistical analysis of financial data. With examples in R
- The Price of Robustness
- Theory and applications of robust optimization
- Tractable stochastic analysis in high dimensions via robust optimization
- Variational Analysis
- Zur Theorie der Gesellschaftsspiele.
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