Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
From MaRDI portal
Publication:3098258
DOI10.1287/opre.1090.0741zbMath1228.90064OpenAlexW1968355947WikidataQ84267492 ScholiaQ84267492MaRDI QIDQ3098258
Publication date: 17 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1090.0741
Related Items
A survey of nonlinear robust optimization, Generalization bounds for regularized portfolio selection with market side information, Distributionally Robust Joint Chance Constrained Vessel Fleet Deployment Problem, Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty, A distributionally ambiguous two-stage stochastic approach for investment in renewable generation, Data-driven integrated home service staffing and capacity planning: stochastic optimization approaches, Distributionally robust unsupervised domain adaptation, Sharing the value‐at‐risk under distributional ambiguity, Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach, Contextual robust optimisation with uncertainty quantification, Soft robust solutions to possibilistic optimization problems, Distributionally robust possibilistic optimization problems, Distributionally robust end-to-end portfolio construction, 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 trade‐off design of parity relation based fault detection systems, Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric, A modified exchange algorithm for distributional robust optimization and applications in risk management, Safe, learning-based MPC for highway driving under Lane-change uncertainty: a distributionally robust approach, Stochastic crowd shipping last-mile delivery with correlated marginals and probabilistic constraints, Emergency medical service location problem based on physical bounds using chance-constrained programming approach, Single machine scheduling with release dates: a distributionally robust approach, Moving from linear to conic markets for electricity, Data-driven remanufacturing planning with parameter uncertainty, Cardinality-constrained distributionally robust portfolio optimization, Distributionally robust expected residual minimization for stochastic variational inequality problems, Bayesian Distributionally Robust Optimization, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, Robust optimization with belief functions, Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric, Distributionally robust optimization with multivariate second-order stochastic dominance constraints with applications in portfolio optimization, Distributionally robust optimization by probability criterion for estimating a bounded signal, Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball, Service center location problems with decision dependent utilities and a pandemic case study, Mitigating the COVID‐19 pandemic through data‐driven resource sharing, Distributionally robust joint chance-constrained programming: Wasserstein metric and second-order moment constraints, Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens, Polyhedral coherent risk measure and distributionally robust portfolio optimization, Robust chance-constrained geometric programming with application to demand risk mitigation, Wasserstein distributionally robust chance-constrained program with moment information, Unnamed Item, Worst-case moments under partial ambiguity, Distributionally robust Weber problem with uncertain demand, Distributionally risk‐receptive and risk‐averse network interdiction problems with general ambiguity set, Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data, A distributionally robust chance-constrained model for humanitarian relief network design, Distributionally Robust Strategy Synthesis for Switched Stochastic Systems, Globalized distributionally robust optimization based on samples, 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, Distributionally robust chance constraints for non-linear uncertainties, 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, Approximation algorithms for cost-robust discrete minimization problems based on their LP-relaxations, Stochastic Superiority Equilibrium in Game Theory, Distributionally Robust Inventory Control When Demand Is a Martingale, Distributionally Robust Chance Constrained Geometric Optimization, Calibration of Distributionally Robust Empirical Optimization Models, Projections onto the canonical simplex with additional linear inequalities, Regularization via Mass Transportation, Process Flexibility: A Distribution-Free Bound on the Performance of k-Chain, Model Uncertainty and Correctability for Directed Graphical Models, Distributionally robust workforce scheduling in call centres with uncertain arrival rates, Robust Stochastic Facility Location: Sensitivity Analysis and Exact Solution, Data-driven distributionally robust risk parity portfolio optimization, Parallel Machine Scheduling Under Uncertainty: Models and Exact Algorithms, Distributionally robust portfolio optimization with linearized STARR performance measure, Robust Investment Management with Uncertainty in Fund Managers’ Asset Allocation, An Approximation Scheme for Distributionally Robust PDE-Constrained Optimization, Robust Markov Decision Processes with Data-Driven, Distance-Based Ambiguity Sets, Directed Principal Component Analysis, 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, Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula, Extending the Scope of Robust Quadratic Optimization, FAST—Fast Algorithm for the Scenario Technique, 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, Building Load Control Using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants, Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity, Distributionally Robust Two-Stage Stochastic Programming, Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance, Distributionally Robust Linear and Discrete Optimization with Marginals, Stochastic Decomposition Method for Two-Stage Distributionally Robust Linear Optimization, Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs, A Wasserstein distributionally robust chance constrained programming approach for emergency medical system planning problem, Optimization with Reference-Based Robust Preference Constraints, Distributionally Robust Stochastic Programming, Primal-Dual Algorithms for Optimization with Stochastic Dominance, Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping, Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation, Unnamed Item, Unnamed Item, An Approximation Scheme for Distributionally Robust Nonlinear Optimization, Ambiguous Joint Chance Constraints Under Mean and Dispersion Information, Input–Output Uncertainty Comparisons for Discrete Optimization via Simulation, 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, Wasserstein Distance and the Distributionally Robust TSP, Exact Algorithms for Distributionally β-Robust Machine Scheduling with Uncertain Processing Times, Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, Robust Maximum Likelihood Estimation, Robust Contract Designs: Linear Contracts and Moral Hazard, 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, On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems, A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics, Convergence Analysis for Mathematical Programs with Distributionally Robust Chance Constraint, Unnamed Item, Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information, Game Theoretical Approach for Reliable Enhanced Indexation, Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach, Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems, On robust mean-variance portfolios, 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, Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity, Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees, Disturbance observer-based elegant anti-disturbance saturation control for a class of stochastic systems, Branch and Price for Chance-Constrained Bin Packing, Statistical Optimization in High Dimensions, Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures, Robust Sensitivity Analysis for Stochastic Systems, Risk parity portfolio optimization under a Markov regime-switching framework, Distributionally robust optimization for sequential decision-making, Multivariate robust second-order stochastic dominance and resulting risk-averse optimization, The Discrete Moment Problem with Nonconvex Shape Constraints, Worst-Case Expected Shortfall with Univariate and Bivariate Marginals, Dynamics of Data-driven Ambiguity Sets for Hyperbolic Conservation Laws with Uncertain Inputs, Convex Optimal Uncertainty Quantification, Moreau Envelope of Supremum Functions with Applications to Infinite and Stochastic Programming, Probabilistic Guarantees in Robust Optimization, Out-of-Sample Utility Bounds for Empirically Optimal Portfolios in a Single-Period Investment Problem, Tail Risk Measures and Portfolio Selection, Variational Theory for Optimization under Stochastic Ambiguity, The distributionally robust complementarity problem, Optimal Portfolio Diversification via Independent Component Analysis, Data-Driven Robust Resource Allocation with Monotonic Cost Functions, Data-Driven Optimization: A Reproducing Kernel Hilbert Space Approach, Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator, Technical Note—Two-Stage Sample Robust Optimization, Learning models with uniform performance via distributionally robust optimization, Robust portfolio optimization: a categorized bibliographic review, Minimax linear estimation with the probability criterion under unimodal noise and bounded parameters, Robust scenario-based value-at-risk optimization, Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity, Constrained incremental bundle method with partial inexact oracle for nonsmooth convex semi-infinite programming problems, Data-driven robust chance constrained problems: a mixture model approach, A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty, Distributionally robust mixed integer linear programs: persistency models with applications, Two-stage stochastic linear programs with incomplete information on uncertainty, A note on distributionally robust optimization under moment uncertainty, An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information, Uplink scheduling for joint wireless orthogonal frequency and time division multiple access networks, Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization, A framework for sensitivity analysis of decision trees, 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, New reformulations of distributionally robust shortest path problem, Delegated portfolio management under ambiguity aversion, A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints, Distributionally robust chance constrained problem under interval distribution information, A robust optimization approach to dispatching technicians under stochastic service times, Portfolio value-at-risk optimization for asymmetrically distributed asset returns, Incorporating model uncertainty into optimal insurance contract design, Distributionally robust equilibrium for continuous games: Nash and Stackelberg models, Models and algorithms for distributionally robust least squares problems, Newsvendor-type models with decision-dependent uncertainty, Supply chain network design under uncertainty: a comprehensive review and future research directions, Distributionally robust joint chance constraints with second-order moment information, Data-driven robust optimization, Portfolio selection under model uncertainty: a penalized moment-based optimization approach, A review on ambiguity in stochastic portfolio optimization, Moment inequalities for sums of random matrices and their applications in optimization, Ambiguous risk constraints with moment and unimodality information, Distributionally robust expectation inequalities for structured distributions, Identifying effective scenarios in distributionally robust stochastic programs with total variation distance, The distributionally robust optimization reformulation for stochastic complementarity problems, Distributionally robust appointment scheduling with moment-based ambiguity set, The empirical likelihood approach to quantifying uncertainty in sample average approximation, Primal-dual hybrid gradient method for distributionally robust optimization problems, A general solution for robust linear programs with distortion risk constraints, Distributionally robust multi-item newsvendor problems with multimodal demand distributions, A new distributionally robust \(p\)-hub median problem with uncertain carbon emissions and its tractable approximation method, The robust Merton problem of an ambiguity averse investor, On reduced semidefinite programs for second order moment bounds with applications, Distributionally robust simple integer recourse, Wait-and-judge scenario optimization, Distributionally robust scheduling on parallel machines under moment uncertainty, An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution, Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances, Robust decision making using a general utility set, A sparse enhanced indexation model with chance and cardinality constraints, Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems, Robust two-stage stochastic linear optimization with risk aversion, Distributionally robust single machine scheduling with risk aversion, Time consistent multi-period robust risk measures and portfolio selection models with regime-switching, Robust unit commitment with \(n-1\) security criteria, A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset, Smoothing methods for nonsmooth, nonconvex minimization, 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, A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure, A distributionally robust optimization approach for stochastic elective surgery scheduling with limited intensive care unit capacity, Robust portfolios: contributions from operations research and finance, Distributionally robust facility location problem under decision-dependent stochastic demand, 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, Likelihood robust optimization for data-driven problems, A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming, Data-driven fuzzy preference analysis from an optimization perspective, A dynamic game approach to distributionally robust safety specifications for stochastic systems, Solving 0-1 semidefinite programs for distributionally robust allocation of surgery blocks, Exact algorithms for the chance-constrained vehicle routing problem, Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches, Distributionally robust last-train coordination planning problem with dwell time adjustment strategy, A data-driven approach for a class of stochastic dynamic optimization problems, Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties, Energy and reserve dispatch with distributionally robust joint chance constraints, On the power of static assignment policies for robust facility location problems, Two-stage distributionally robust mixed-integer optimization model for three-level location-allocation problems under uncertain environment, Structural reliability under uncertainty in moments: distributionally-robust reliability-based design optimization, KDE distributionally robust portfolio optimization with higher moment coherent risk, Distributionally robust optimization. A review on theory and applications, A two-stage robust approach to integrated station location and rebalancing vehicle service design in bike-sharing systems, Data-driven stochastic optimization for distributional ambiguity with integrated confidence region, A multivariate Chebyshev bound of the Selberg form, Approximation approach for robust vessel fleet deployment problem with ambiguous demands, A sparse chance constrained portfolio selection model with multiple constraints, Integrating unimodality into distributionally robust optimal power flow, Bootstrap robust prescriptive analytics, Kernel density estimation based distributionally robust mean-CVaR portfolio optimization, Distributionally robust bottleneck combinatorial problems: uncertainty quantification and robust decision making, Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets, A study of data-driven distributionally robust optimization with incomplete joint data under finite support, Distributionally robust multi-period location-allocation with multiple resources and capacity levels in humanitarian logistics, Generalized Gauss inequalities via semidefinite programming, Distribution-robust loss-averse optimization, Distributionally-robust machine learning using locally differentially-private data, Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty, Eco-friendly container transshipment route scheduling problem with repacking operations, Berth allocation and quay crane assignment/scheduling problem under uncertainty: a survey, Robust international portfolio optimization with worst-case mean-CVaR, Optimization and operations research in mitigation of a pandemic, Robust grouped variable selection using distributionally robust optimization, The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors, Robust linear classification from limited training data, Frameworks and results in distributionally robust optimization, Capital asset pricing model under distribution uncertainty, Partition-based distributionally robust optimization via optimal transport with order cone constraints, Dynamic optimization with side information, A distributionally robust area under curve maximization model, Tractable reformulations of two-stage distributionally robust linear programs over the type-\(\infty\) Wasserstein ball, Asymptotic analysis for a stochastic semidefinite programming, A data-driven approach for supply chain network design under uncertainty with consideration of social concerns, Confidence analysis of linear unbiased estimates under uncertain unimodal noise distributions, Polyhedral coherent risk measures and robust optimization, Distributionally robust fault detection design and assessment for dynamical systems, Robust ranking and selection with optimal computing budget allocation, An approach to the distributionally robust shortest path problem, Distributionally robust facility location with bimodal random demand, 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, Proportional and maxmin fairness for the sensor location problem with chance constraints, Joint robust optimization of bed capacity, nurse staffing, and care access under uncertainty, Data-driven risk-averse stochastic optimization with Wasserstein metric, Optimal chance-constrained pension fund management through dynamic stochastic control, Data-driven distributionally robust surgery planning in flexible operating rooms over a Wasserstein ambiguity, 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, Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance, A composite risk measure framework for decision making under uncertainty, Distributions with maximum spread subject to Wasserstein distance constraints, A class of two-stage distributionally robust games, Distributionally robust reinsurance with value-at-risk and conditional value-at-risk, 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, Distributionally robust joint chance-constrained support vector machines, Generalized risk parity portfolio optimization: an ADMM approach, Distributionally robust multi-period portfolio selection subject to bankruptcy constraints, \(\alpha\)-robust portfolio optimization problem under the distribution uncertainty, Channel structures of transnational supply chains, Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints, 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, Optimal insurance under maxmin expected utility, Two-stage distributionally robust optimization model for warehousing-transportation problem under uncertain environment, An exact algorithm for linear integer programming problems with distributionally robust chance constraints, Distributionally robust polynomial chance-constraints under mixture ambiguity sets, Exploiting partial correlations in distributionally robust optimization, Distributionally robust optimization with decision dependent ambiguity sets, Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs, Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization, Robust inventory management with multiple supply sources, 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 robust decision-support method based on optimization and simulation for wildfire resilience in highly renewable power systems, A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations, A survey of decision making and optimization under uncertainty, Benders decomposition for the distributionally robust optimization of pricing and reverse logistics network design in remanufacturing systems, Distributionally robust chance constrained problems under general moments information, Mean-CVaR portfolio selection model with ambiguity in distribution and attitude, Multi-period dynamic distributionally robust pre-positioning of emergency supplies under demand uncertainty, Recent developments in robust portfolios with a worst-case approach, Recent advances in robust optimization: an overview, A Robust Optimization Model for Managing Elective Admission in a Public Hospital, Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals, A distributionally robust optimization approach for outpatient colonoscopy scheduling, Robust worst-case optimal investment, The Newsvendor under Demand Ambiguity: Combining Data with Moment and Tail Information, Distributionally robust optimization with correlated data from vector autoregressive processes, Robust assortment optimization using worst-case CVaR under the multinomial logit model, New safe approximation of ambiguous probabilistic constraints for financial optimization problem, Incorporating a Bayesian network into two-stage stochastic programming for blood bank location-inventory problem in case of disasters, Wasserstein distributionally robust shortest path problem, Distributionally robust parameter identification of a time-delay dynamical system with stochastic measurements, Distributionally robust \(L_1\)-estimation in multiple linear regression, On solving two-stage distributionally robust disjunctive programs with a general ambiguity set, Robust and stochastic formulations for ambulance deployment and dispatch, A new approach for worst-case regret portfolio optimization problem, Environmental game modeling with uncertainties, An active-set strategy to solve Markov decision processes with good-deal risk measure, Distributionally robust self-scheduling optimization with CO\(_2\) emissions constraints under uncertainty of prices, Distributionally robust return-risk optimization models and their applications, Resource distribution under spatiotemporal uncertainty of disease spread: stochastic versus robust approaches, A distributionally robust perspective on uncertainty quantification and chance constrained programming, Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity, Distributionally robust optimization with moment ambiguity sets, Toward theoretical understandings of robust Markov decision processes: sample complexity and asymptotics, Tight bounds for a class of data-driven distributionally robust risk measures, On distributionally robust multiperiod stochastic optimization, A network sensor location problem for link flow observability and estimation, Optimized Bonferroni approximations of distributionally robust joint chance constraints, Risk and complexity in scenario optimization
Uses Software
