Nonlinear distributionally robust optimization

DOI10.1007/S10107-024-02151-7MaRDI QIDQ6932182zbMATH OpenFDO

Authors Mohammed Rayyan Sheriff, Peyman Mohajerin Esfahani

Publication date 9 September 2025

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10107-024-02151-7

zbMATH Keywords

Frank-Wolfe algorithmGâteaux derivativenorm-free-smoothnesssaddle point

Mathematics Subject Classification ID

Stochastic programming (90C15) Robustness in mathematical programming (90C17) Convex programming (90C25) Nonlinear programming (90C30) Minimax problems in mathematical programming (90C47)

Cites work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• A recurring theorem about pairs of quadratic forms and extensions: A survey
• Ambiguity in portfolio selection
• Ambiguous chance constrained problems and robust optimization
• Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization
• Computationally tractable counterparts of distributionally robust constraints on risk measures
• Coresets, sparse greedy approximation, and the Frank-Wolfe algorithm
• Data-driven chance constrained stochastic program
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Distributionally Robust Convex Optimization
• 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
• Finite-Sample Guarantees for Wasserstein Distributionally Robust Optimization: Breaking the Curse of Dimensionality
• scientific article; zbMATH DE number 3850830 (Why is no real title available?)
• scientific article; zbMATH DE number 3790208 (Why is no real title available?)
• scientific article; zbMATH DE number 3534286 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 3345848 (Why is no real title available?)
• Learning models with uniform performance via distributionally robust optimization
• Minimization of Functionals in Normed Spaces
• Multivariate coherent risk measures induced by multivariate convex risk measures
• Optimal transport-based distributionally robust optimization: structural properties and iterative schemes
• Prox-Method with Rate of Convergence O(1/t) for Variational Inequalities with Lipschitz Continuous Monotone Operators and Smooth Convex-Concave Saddle Point Problems
• Smooth minimization of non-smooth functions
• Theory and applications of robust optimization
• Wasserstein distributionally robust optimization and variation regularization

Cited in

(1)

• Distributionally robust optimization

This page was built for publication: Nonlinear distributionally robust optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6932182)