Models and algorithms for distributionally robust least squares problems
DOI10.1007/S10107-013-0681-9zbMATH Open1293.93790OpenAlexW2006599749MaRDI QIDQ403637FDOQ403637
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
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semidefinite optimizationleast squares problemspolynomial time algorithmsKantorovich probabilityprobabilistic ambiguity
Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07) Semidefinite programming (90C22) Stochastic programming (90C15) Sensitivity (robustness) (93B35) Least squares and related methods for stochastic control systems (93E24)
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Cited In (26)
- Mathematical programs with distributionally robust chance constraints: statistical robustness, discretization and reformulation
- Title not available (Why is that?)
- Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
- Distributionally robust \(L_1\)-estimation in multiple linear regression
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Title not available (Why is that?)
- Stochastic Decomposition Method for Two-Stage Distributionally Robust Linear Optimization
- Data-driven integrated home service staffing and capacity planning: stochastic optimization approaches
- The distributionally robust complementarity problem
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- Title not available (Why is that?)
- Globalized distributionally robust optimization problems under the moment-based framework
- Robust stochastic optimization with convex risk measures: a discretized subgradient scheme
- Distributionally robust optimization with decision dependent ambiguity sets
- A stochastic subgradient method for distributionally robust non-convex and non-smooth learning
- A distributionally robust area under curve maximization model
- A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints
- Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
- Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
- Distributionally robust optimization using optimal transport for Gaussian mixture models
- Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs
- Convex Optimal Uncertainty Quantification
- Distributionally robust optimization. A review on theory and applications
- Structured Least Squares Problems and Robust Estimators
- Robust Statistical Engineering by Means of Scaled Bregman Distances
- Frameworks and results in distributionally robust optimization
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