Quantitative stability analysis for distributionally robust optimization with moment constraints
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Publication:2821799
DOI10.1137/15M1038529zbMATH Open1346.90650MaRDI QIDQ2821799FDOQ2821799
Authors: Jie Zhang, Huifu Xu, Liwei Zhang 
Publication date: 23 September 2016
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
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distributionally robust optimizationquantitative stability analysismoment conditions with cone constraintsouter semicontinuity of the set of optimal solutionsHölder continuity of the optimal value function
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Cited In (32)
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems
- Distributionally robust multi-period location-allocation with multiple resources and capacity levels in humanitarian logistics
- Robustness of stochastic programs with endogenous randomness via contamination
- A distributionally robust optimization approach for two-stage facility location problems
- Distributionally robust optimization with moment ambiguity sets
- Discrete approximation and quantification in distributionally robust optimization
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- A smooth approximation approach for optimization with probabilistic constraints based on sigmoid function
- Variational theory for optimization under stochastic ambiguity
- Lopsided convergence: an extension and its quantification
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Stability of minimization problems and the error bound condition
- Discrete approximation scheme in distributionally robust optimization
- Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse
- Distributionally robust optimization under endogenous uncertainty with an application in retrofitting planning
- Quantitative analysis for a class of two-stage stochastic linear variational inequality problems
- Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
- Distributionally robust variational inequalities: relaxation, quantification and discretization
- Bilevel linear optimization under uncertainty
- Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
- Diametrical risk minimization: theory and computations
- Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints
- Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
- Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
- Quantitative stability analysis of two-stage stochastic linear programs with full random recourse
- Quantitative stability analysis for minimax distributionally robust risk optimization
- Distributionally robust equilibrium for continuous games: Nash and Stackelberg models
- Frameworks and results in distributionally robust optimization
- Distributionally robust facility location problem under decision-dependent stochastic demand
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