Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
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Publication:5085987
Wasserstein metricrobust schedulingnetwork interdictionstochastic schedulingcontrollable processing timesdistributionally robust optimizationendogenous uncertaintyrandom link failuresdecision-dependent ambiguitydecision-dependent probabilitiesEarth mover's distancesrobust pre-disasterrobustified risk
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Cites work
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 837692 (Why is no real title available?)
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- Coherent measures of risk
- Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Convex measures of risk and trading constraints
- Data-driven chance constrained stochastic program
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- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Decision-dependent probabilities in stochastic programs with recourse
- Distributionally Robust Convex Optimization
- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust single machine scheduling with risk aversion
- Distributionally robust single machine scheduling with the total tardiness criterion
- Exact algorithms for distributionally \(\beta \)-robust machine scheduling with uncertain processing times
- Exploiting special structures in constructing a hierarchy of relaxations for \(0-1\) mixed integer problems
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- Kusuoka representations of coherent risk measures in general probability spaces
- Likelihood robust optimization for data-driven problems
- Minimizing value-at-risk in single-machine scheduling
- Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
- Optimization under decision-dependent uncertainty
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Pre-disaster investment decisions for strengthening a highway network
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Risk averse scheduling with scenarios
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
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- Scheduling
- Stochastic network interdiction
- Variational theory for optimization under stochastic ambiguity
Cited in
(7)- Robustness of stochastic programs with endogenous randomness via contamination
- Robust Optimization with Continuous Decision-Dependent Uncertainty with applications to demand response management
- Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning
- A distributionally ambiguous two-stage stochastic approach for investment in renewable generation
- Frameworks and results in distributionally robust optimization
- Robust maximum flow network interdiction considering uncertainties in arc capacity and resource consumption
- Robust and distributionally robust optimization models for linear support vector machine
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