Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity
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Cites work
- Ambiguous chance constrained problems and robust optimization
- Ambiguous risk constraints with moment and unimodality information
- Asymptotic Statistics
- Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Data-driven robust optimization
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- Distributionally robust optimization with principal component analysis
- Distributionally robust single machine scheduling with the total tardiness criterion
- Distributionally robust stochastic knapsack problem
- Graph implementations for nonsmooth convex programs
- Lectures on Stochastic Programming
- Likelihood robust optimization for data-driven problems
- Models for minimax stochastic linear optimization problems with risk aversion
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- Robust convex optimization
- Robust empirical optimization is almost the same as mean-variance optimization
- Robust sample average approximation
- Semidefinite Programming
- Solving 0-1 semidefinite programs for distributionally robust allocation of surgery blocks
- The Price of Robustness
- Tractable robust expected utility and risk models for portfolio optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(5)- A study of distributionally robust mixed-integer programming with Wasserstein metric: on the value of incomplete data
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Wasserstein distributionally robust chance-constrained program with moment information
- Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
- Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
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