Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
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Publication:1646571
DOI10.1007/S10107-017-1143-6zbMATH Open1391.90449DBLPjournals/mp/XuLS18OpenAlexW2606883349WikidataQ59526032 ScholiaQ59526032MaRDI QIDQ1646571FDOQ1646571
Authors: Huifu Xu, Hailin Sun, Yongchao Liu 
Publication date: 25 June 2018
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-017-1143-6
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strong dualitycutting plane methodsrandom discretizationlower semicontinuity conditionsmatrix moment constraintsSlater type conditions
Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Minimax problems in mathematical programming (90C47)
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Cited In (36)
- A general model and efficient algorithms for reliable facility location problem under uncertain disruptions
- Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems
- Multivariate robust second-order stochastic dominance and resulting risk-averse optimization
- Primal-dual hybrid gradient method for distributionally robust optimization problems
- Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems
- A distributionally robust optimization approach for two-stage facility location problems
- Fatou's lemma for weakly converging measures under the uniform integrability condition
- Distributionally robust optimization with moment ambiguity sets
- Discrete approximation and quantification in distributionally robust optimization
- Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity
- Quantitative stability analysis of stochastic mathematical programs with vertical complementarity constraints
- A vehicle routing problem with distribution uncertainty in deadlines
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization
- Convergence analysis for mathematical programs with distributionally robust chance constraint
- Robust optimization problem for linear polyhedral cone constrained distribution on \(KL\)-divergence
- Distributionally robust expected residual minimization for stochastic variational inequality problems
- Discrete approximation and convergence analysis for a class of decision-dependent two-stage stochastic linear programs
- Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
- Distributionally robust Weber problem with uncertain demand
- A Bayesian approach to data-driven multi-stage stochastic optimization
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- Data-Driven Optimization of Reward-Risk Ratio Measures
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- Distributionally robust last-train coordination planning problem with dwell time adjustment strategy
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- Quantitative stability analysis for minimax distributionally robust risk optimization
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- Distributionally robust shortfall risk optimization model and its approximation
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