Frameworks and results in distributionally robust optimization

DOI10.5802/ojmo.15zbMath1492.90109MaRDI QIDQ2165596

Sanjay Mehrotra, Hamed Rahimian

Publication date: 20 August 2022

Published in: OJMO. Open Journal of Mathematical Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5802/ojmo.15

zbMATH Keywords

stochastic optimization; robust optimization; statistical learning; distributionally robust optimization; risk-averse optimization; chance-constrained optimization

Mathematics Subject Classification ID

90C22: Semidefinite programming

90C25: Convex programming

90C90: Applications of mathematical programming

90C30: Nonlinear programming

68T05: Learning and adaptive systems in artificial intelligence

90C15: Stochastic programming

68T37: Reasoning under uncertainty in the context of artificial intelligence

90C34: Semi-infinite programming

90C17: Robustness in mathematical programming

Uses Software

• Pyomo
• PICOS
• JuMP
• PyROS
• RSOME
• ROmodel
• ROC++

Cites Work

• PyROS
• RSOME
• ROmodel
• ROC++