Parameter estimation with expected and residual-at-risk criteria
DOI10.1016/J.SYSCONLE.2008.07.007zbMATH Open1154.93038OpenAlexW2117078660MaRDI QIDQ999831FDOQ999831
Authors: Ufuk Topcu, Giuseppe Calafiore, Laurent El Ghaoui 
Publication date: 10 February 2009
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2008.07.007
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Cites Work
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- Semidefinite Programming
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Semidefinite optimization
- Robust Solutions to Uncertain Semidefinite Programs
- Near optimal solutions to least-squares problems with stochastic uncertainty
- A regularized robust design criterion for uncertain data
- On tractable approximations of uncertain linear matrix inequalities affected by interval uncertainty
- Exact Regularization of Convex Programs
- Title not available (Why is that?)
Cited In (6)
- Overall risk criterion estimation of hidden Markov model parameters
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
- Log-robust portfolio management with parameter ambiguity
- International portfolio management with affine policies
- Distributionally robust joint chance constraints with second-order moment information
- Moment-based distributionally robust joint chance constrained optimization for service network design under demand uncertainty
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