Distributionally Robust Convex Optimization
From MaRDI portal
Publication:2941430
DOI10.1287/opre.2014.1314zbMath1327.90158OpenAlexW2125417745WikidataQ84725414 ScholiaQ84725414MaRDI QIDQ2941430
Daniel Kuhn, Wolfram Wiesemann, 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
Related Items
Robust Control for Dynamical Systems with Non-Gaussian Noise via Formal Abstractions, A survey of nonlinear robust optimization, Regularization via Mass Transportation, Preference Robust Modified Optimized Certainty Equivalent, Model Uncertainty and Correctability for Directed Graphical Models, Robust Stochastic Facility Location: Sensitivity Analysis and Exact Solution, ROC++: Robust Optimization in C++, Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms, Distributionally robust portfolio optimization with linearized STARR performance measure, Unnamed Item, An Approximation Scheme for Distributionally Robust PDE-Constrained Optimization, Robust Markov Decision Processes with Data-Driven, Distance-Based Ambiguity Sets, Distributionally Robust Optimization with Principal Component Analysis, Robust Capacity Planning for Project Management, Modeling Defender-Attacker Problems as Robust Linear Programs with Mixed-Integer Uncertainty Sets, The Value of Randomized Solutions in Mixed-Integer Distributionally Robust Optimization Problems, A General Model and Efficient Algorithms for Reliable Facility Location Problem Under Uncertain Disruptions, Data-Driven Optimization of Reward-Risk Ratio Measures, Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics, Distributionally Robust Two-Stage Stochastic Programming, Distributionally Robust Linear and Discrete Optimization with Marginals, A Wasserstein distributionally robust chance constrained programming approach for emergency medical system planning problem, Sharing the value‐at‐risk under distributional ambiguity, Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach, Distributionally robust possibilistic optimization problems, Decision bounding problems for two-stage distributionally robust stochastic bilevel optimization, Robust optimization for spread quality and shortfall in guaranteed targeted display advertising planning, Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning, Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric, Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping, Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation, Distortion risk measure under parametric ambiguity, Minimax Q-learning control for linear systems using the Wasserstein metric, Data-driven robust optimization using deep neural networks, On ambiguity-averse market equilibrium, Optimization under uncertainty and risk: quadratic and copositive approaches, Robust maximum capture facility location under random utility maximization models, Robust optimization with belief functions, Distributionally robust reinsurance with value-at-risk and conditional value-at-risk, Unnamed Item, Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric, Decentralized Gradient Descent Maximization Method for Composite Nonconvex Strongly-Concave Minimax Problems, Diametrical risk minimization: theory and computations, Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball, Distributionally robust joint chance-constrained programming: Wasserstein metric and second-order moment constraints, Polyhedral coherent risk measure and distributionally robust portfolio optimization, On robustness in nonconvex optimization with application to defense planning, Wasserstein distributionally robust chance-constrained program with moment information, \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty, An Approximation Scheme for Distributionally Robust Nonlinear Optimization, Ambiguous Joint Chance Constraints Under Mean and Dispersion Information, A distributionally robust optimization model for batch nonlinear switched time-delay system considering uncertain output measurements, On the multistage shortest path problem under distributional uncertainty, Two-stage distributionally robust optimization model for warehousing-transportation problem under uncertain environment, Two-stage distributionally robust noncooperative games: existence of Nash equilibrium and its application to Cournot-Nash competition, Robust Dual Dynamic Programming, Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization, Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets, Optimization-Based Calibration of Simulation Input Models, The Distributionally Robust Chance-Constrained Vehicle Routing Problem, Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization, Risk and Utility in the Duality Framework of Convex Analysis, Technical Note—Time Inconsistency of Optimal Policies of Distributionally Robust Inventory Models, A Brief Overview of Interdiction and Robust Optimization, Distributionally Robust Partially Observable Markov Decision Process with Moment-Based Ambiguity, Reducing Conservatism in Robust Optimization, On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems, A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics, Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints, Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems, Robust Actuarial Risk Analysis, Unnamed Item, Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information, Routing Optimization Under Uncertainty, Generalized Bounded Rationality and Robust Multicommodity Network Design, Robust Adaptive Routing Under Uncertainty, Robust Defibrillator Deployment Under Cardiac Arrest Location Uncertainty via Row-and-Column Generation, Distributionally Robust Stochastic Dual Dynamic Programming, Chebyshev Inequalities for Products of Random Variables, Discrete Approximation and Quantification in Distributionally Robust Optimization, Quantifying Distributional Model Risk via Optimal Transport, Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information, Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls, Adjustable Robust Optimization via Fourier–Motzkin Elimination, Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees, Distributionally Robust Design for Redundancy Allocation, Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures, Distributionally robust optimization for sequential decision-making, Moreau Envelope of Supremum Functions with Applications to Infinite and Stochastic Programming, Branch-Cut-and-Price for the Robust Capacitated Vehicle Routing Problem with Knapsack Uncertainty, Solution Approaches to Linear Fractional Programming and Its Stochastic Generalizations Using Second Order Cone Approximations, A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems, Mathematical Foundations of Distributionally Robust Multistage Optimization, Distributionally Robust Chance Constrained Geometric Optimization, The distributionally robust complementarity problem, Data-Driven Robust Resource Allocation with Monotonic Cost Functions, Robustness in the Optimization of Risk Measures, Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator, Technical Note—Two-Stage Sample Robust Optimization, Short paper -- A note on robust combinatorial optimization with generalized interval uncertainty, Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data, Mathematical programming methods for microgrid design and operations: a survey on deterministic and stochastic approaches, A discussion of probability functions and constraints from a variational perspective, A note on distributionally robust optimization under moment uncertainty, An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information, Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods, Network design in scarce data environment using moment-based distributionally robust optimization, Robust optimization approaches for purchase planning with supplier selection under lead time uncertainty, Robust linear classification from limited training data, Frameworks and results in distributionally robust optimization, On the regularized risk of distributionally robust learning over deep neural networks, Tractable reformulations of two-stage distributionally robust linear programs over the type-\(\infty\) Wasserstein ball, Asymptotic analysis for a stochastic semidefinite programming, A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints, Polyhedral coherent risk measures and robust optimization, Distributionally robust fault detection design and assessment for dynamical systems, An approach to the distributionally robust shortest path problem, Appointment scheduling for multi-stage sequential service systems with limited distributional information, Robust recycling facility location with clustering, Stochastic optimization approaches for elective surgery scheduling with downstream capacity constraints: models, challenges, and opportunities, Distributionally robust chance constraint with unimodality-skewness information and conic reformulation, Quadratic two-stage stochastic optimization with coherent measures of risk, Distributionally robust equilibrium for continuous games: Nash and Stackelberg models, Proportional and maxmin fairness for the sensor location problem with chance constraints, Routing optimization with time windows under uncertainty, Robust and distributionally robust optimization models for linear support vector machine, Robust design of service systems with immobile servers under demand uncertainty, Distributionally robust optimization with polynomial densities: theory, models and algorithms, Risk minimization, regret minimization and progressive hedging algorithms, Bilevel programming approaches to production planning for multiple products with short life cycles, A composite risk measure framework for decision making under uncertainty, A class of two-stage distributionally robust games, Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models, A distributionally robust optimization approach for two-stage facility location problems, Improved handling of uncertainty and robustness in set covering problems, Supply chain network design under uncertainty: a comprehensive review and future research directions, Data-driven robust optimization, Ambiguous risk constraints with moment and unimodality information, Identifying effective scenarios in distributionally robust stochastic programs with total variation distance, A unified framework for stochastic optimization, The empirical likelihood approach to quantifying uncertainty in sample average approximation, Primal-dual hybrid gradient method for distributionally robust optimization problems, Customer reviews for demand distribution and sales nowcasting: a big data approach, Exploiting partial correlations in distributionally robust optimization, Multipolar robust optimization, Robust balanced optimization, Distributionally robust shortfall risk optimization model and its approximation, An almost robust model for minimizing disruption exposures in supply systems, Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation, A comparison of different routing schemes for the robust network loading problem: polyhedral results and computation, A survey of decision making and optimization under uncertainty, Distributionally robust simple integer recourse, Distributionally robust chance constrained problems under general moments information, Mean-CVaR portfolio selection model with ambiguity in distribution and attitude, Distributionally robust scheduling on parallel machines under moment uncertainty, Minimum cost strategic weight assignment for multiple attribute decision-making problem using robust optimization approach, Multi-period dynamic distributionally robust pre-positioning of emergency supplies under demand uncertainty, Compromise solutions for robust combinatorial optimization with variable-sized uncertainty, Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems, Recent advances in robust optimization: an overview, Decision support for strategic energy planning: a robust optimization framework, Data-driven distributionally robust chance-constrained optimization with Wasserstein metric, Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems, Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations, Robust sample average approximation, Robust binary optimization using a safe tractable approximation, $K$-adaptability in two-stage distributionally robust binary programming, A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure, 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, Robust stochastic optimization with convex risk measures: a discretized subgradient scheme, Multi-stage distributionally robust optimization with risk aversion, A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming, A distributionally robust optimization approach for outpatient colonoscopy scheduling, A dynamic game approach to distributionally robust safety specifications for stochastic systems, Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches, A model of distributionally robust two-stage stochastic convex programming with linear recourse, New safe approximation of ambiguous probabilistic constraints for financial optimization problem, Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties, Distributionally robust parameter identification of a time-delay dynamical system with stochastic measurements, Distributionally robust \(L_1\)-estimation in multiple linear regression, Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization, KDE distributionally robust portfolio optimization with higher moment coherent risk, A multi-objective distributionally robust model for sustainable last mile relief network design problem, Distributionally robust optimization. A review on theory and applications, A new approach for worst-case regret portfolio optimization problem, 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, Multiskilled personnel assignment problem under uncertain demand: a benchmarking analysis, Bootstrap robust prescriptive analytics, Kernel density estimation based distributionally robust mean-CVaR portfolio optimization, A study of data-driven distributionally robust optimization with incomplete joint data under finite support, A distributionally robust perspective on uncertainty quantification and chance constrained programming, Distributionally robust optimization with moment ambiguity sets, Quantitative stability analysis for minimax distributionally robust risk optimization, Optimized Bonferroni approximations of distributionally robust joint chance constraints, Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure, Risk and complexity in scenario optimization
