Distributionally Robust Optimization with Principal Component Analysis
From MaRDI portal
Publication:4571880
DOI10.1137/16M1075910zbMath1400.90231MaRDI QIDQ4571880
Cosmin Safta, Habib N. Najm, Jean-Paul Watson, Richard Li-Yang Chen, Jianqiang Cheng, Ali Pınar
Publication date: 3 July 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
stochastic programmingsemidefinite programmingprincipal component analysisdistributionally robust optimization
Semidefinite programming (90C22) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)
Related Items
Frameworks and results in distributionally robust optimization ⋮ Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity ⋮ Globalized distributionally robust optimization based on samples ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Distributionally robust optimization. A review on theory and applications ⋮ Tight bounds for a class of data-driven distributionally robust risk measures
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Generalized Gauss inequalities via semidefinite programming
- Data-driven chance constrained stochastic program
- Maximum probability shortest path problem
- On reduced semidefinite programs for second order moment bounds with applications
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- Distributionally robust joint chance constraints with second-order moment information
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Ambiguous chance constrained problems and robust optimization
- On sharpness of Tchebycheff-type inequalities
- Robust Sensitivity Analysis for Stochastic Systems
- Chance-Constrained Optimal Power Flow: Risk-Aware Network Control under Uncertainty
- Distributionally Robust Stochastic Knapsack Problem
- Distributionally Robust Convex Optimization
- Graph Implementations for Nonsmooth Convex Programs
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Theory and Applications of Robust Optimization
- TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION
- Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
- Robust Mean-Covariance Solutions for Stochastic Optimization
- Robust stabilization of uncertain linear systems: quadratic stabilizability and H/sup infinity / control theory
- Convex Approximations of Chance Constrained Programs
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
This page was built for publication: Distributionally Robust Optimization with Principal Component Analysis
