Distributionally Robust Convex Optimization

DOI10.1287/OPRE.2014.1314zbMATH Open1327.90158OpenAlexW2125417745WikidataQ84725414 ScholiaQ84725414MaRDI QIDQ2941430FDOQ2941430

Authors: Wolfram Wiesemann, Daniel Kuhn, Melvyn Sim 

Publication date: 28 August 2015

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: http://www.optimization-online.org/DB_HTML/2013/02/3757.html

Recommendations

• Distributionally robust optimization and its tractable approximations
• Distributionally robust possibilistic optimization problems
• A distributional interpretation of robust optimization
• Frameworks and results in distributionally robust optimization
• Distributionally robust stochastic programming
• Distributionally robust optimization. A review on theory and applications
• Robust convex optimization
• Distributionally Robust Linear and Discrete Optimization with Marginals
• Distribution-robust loss-averse optimization
• Distributionally robust optimization with moment ambiguity sets

zbMATH Keywords

robust optimizationconic optimizationambiguous probability distributions

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Cited In (only showing first 100 items - show all)

• A general model and efficient algorithms for reliable facility location problem under uncertain disruptions
• Primal-dual hybrid gradient method for distributionally robust optimization problems
• Distortion risk measure under parametric ambiguity
• Robust sample average approximation
• A distributionally robust optimization approach for two-stage facility location problems
• Distributionally robust scheduling on parallel machines under moment uncertainty
• A model of distributionally robust two-stage stochastic convex programming with linear recourse
• Adjustable robust optimization via Fourier-Motzkin elimination
• Distributionally Robust Stochastic Dual Dynamic Programming
• Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
• A comparison of different routing schemes for the robust network loading problem: polyhedral results and computation
• Title not available (Why is that?)
• Robust Actuarial Risk Analysis
• A multi-objective distributionally robust model for sustainable last mile relief network design problem
• Generalized bounded rationality and robust multicommodity network design
• Robust defibrillator deployment under cardiac arrest location uncertainty via row-and-column generation
• Title not available (Why is that?)
• Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
• Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
• Multiple kernel learning-aided robust optimization: learning algorithm, computational tractability, and usage in multi-stage decision-making
• A distributionally robust analysis of the program evaluation and review technique
• Data-driven distributionally robust capacitated facility location problem
• Multi-stage distributionally robust optimization with risk aversion
• Robust stochastic optimization with convex risk measures: a discretized subgradient scheme
• Risk-averse stochastic programming and distributionally robust optimization via operator splitting
• An almost robust model for minimizing disruption exposures in supply systems
• Technical note -- time inconsistency of optimal policies of distributionally robust inventory models
• An approach to the distributionally robust shortest path problem
• Distributionally robust optimization with decision dependent ambiguity sets
• A composite risk measure framework for decision making under uncertainty
• Decision support for strategic energy planning: a robust optimization framework
• Wasserstein distributionally robust chance-constrained program with moment information
• A distributionally robust optimization approach for outpatient colonoscopy scheduling
• Distributionally robust parameter identification of a time-delay dynamical system with stochastic measurements
• A Wasserstein distributionally robust chance constrained programming approach for emergency medical system planning problem
• Routing optimization with time windows under uncertainty
• Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
• Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
• A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
• Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties
• Mathematical foundations of distributionally robust multistage optimization
• On deterministic reformulations of distributionally robust joint chance constrained optimization problems
• Optimized Bonferroni approximations of distributionally robust joint chance constraints
• A robust learning approach for regression models based on distributionally robust optimization
• The distributionally robust chance-constrained vehicle routing problem
• KDE distributionally robust portfolio optimization with higher moment coherent risk
• Distributionally robust optimization. A review on theory and applications
• A Bayesian risk approach to data-driven stochastic optimization: formulations and asymptotics
• Robust Dual Dynamic Programming
• A two-stage robust approach to integrated station location and rebalancing vehicle service design in bike-sharing systems
• Target-based distributionally robust optimization for single machine scheduling
• Data-driven stochastic optimization for distributional ambiguity with integrated confidence region
• Risk and Utility in the Duality Framework of Convex Analysis
• Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information
• Bootstrap robust prescriptive analytics
• Distributionally robust stochastic programs with side information based on trimmings
• Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
• Quantitative stability analysis for minimax distributionally robust risk optimization
• Frameworks and results in distributionally robust optimization
• Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation
• A survey of nonlinear robust optimization
• Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation
• Distributionally Robust Two-Stage Stochastic Programming
• Robust binary optimization using a safe tractable approximation
• Computationally tractable counterparts of distributionally robust constraints on risk measures
• Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
• A discussion of probability functions and constraints from a variational perspective
• Robust optimization approaches for purchase planning with supplier selection under lead time uncertainty
• Risk and complexity in scenario optimization
• Robust maximum capture facility location under random utility maximization models
• Quadratic two-stage stochastic optimization with coherent measures of risk
• An Approximation Scheme for Distributionally Robust Nonlinear Optimization
• Distributionally robust chance constrained problems under general moments information
• Chebyshev inequalities for products of random variables
• Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
• Distributionally robust \(L_1\)-estimation in multiple linear regression
• The empirical likelihood approach to quantifying uncertainty in sample average approximation
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Optimization-based calibration of simulation input models
• Multipolar robust optimization
• Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
• Quantifying distributional model risk via optimal transport
• Robust analysis in stochastic simulation: computation and performance guarantees
• Regularization via mass transportation
• Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms
• Customer reviews for demand distribution and sales nowcasting: a big data approach
• A note on distributionally robust optimization under moment uncertainty
• A distributional interpretation of robust optimization
• A dynamic game approach to distributionally robust safety specifications for stochastic systems
• The Value of Randomized Solutions in Mixed-Integer Distributionally Robust Optimization Problems
• Distributionally Robust Linear and Discrete Optimization with Marginals
• Ambiguous risk constraints with moment and unimodality information
• A class of two-stage distributionally robust games
• Distributionally robust optimization with polynomial densities: theory, models and algorithms
• An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
• Routing optimization under uncertainty
• Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
• Robust adaptive routing under uncertainty

This page was built for publication: Distributionally Robust Convex Optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2941430)