Models and algorithms for distributionally robust least squares problems

DOI10.1007/s10107-013-0681-9zbMath1293.93790MaRDI QIDQ403637

J. Herrera, H. S. Yoon

Publication date: 29 August 2014

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-013-0681-9

zbMATH Keywords

semidefinite optimization; least squares problems; polynomial time algorithms; Kantorovich probability; probabilistic ambiguity

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62G35: Nonparametric robustness

62J05: Linear regression; mixed models

90C22: Semidefinite programming

93B35: Sensitivity (robustness)

90C15: Stochastic programming

93E24: Least squares and related methods for stochastic control systems

Uses Software

• SeDuMi