Statistical optimization in high dimensions
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Cites work
- scientific article; zbMATH DE number 1734453 (Why is no real title available?)
- A Singular Value Thresholding Algorithm for Matrix Completion
- Constructing uncertainty sets for robust linear optimization
- Data-driven chance constrained stochastic program
- 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
- Just relax: convex programming methods for identifying sparse signals in noise
- On distributionally robust chance-constrained linear programs
- On the rate of convergence of optimal solutions of Monte Carlo approximations of stochastic programs
- Provably Near-Optimal Sampling-Based Policies for Stochastic Inventory Control Models
- Robust Regression and Lasso
- Robust solutions of uncertain linear programs
- Robustness and regularization of support vector machines
- Second order cone programming approaches for handling missing and uncertain data
- Sparse online learning via truncated gradient
- Spectral norm of products of random and deterministic matrices
- Support-vector networks
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- The Price of Robustness
- The data-driven newsvendor problem: new bounds and insights
- The sample average approximation method for stochastic discrete optimization
- Theory and applications of robust optimization
- Tractable robust expected utility and risk models for portfolio optimization
- Uncertain convex programs: randomized solutions and confidence levels
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
Cited in
(11)- Optimal portfolio diversification via independent component analysis
- A statistical multivariable optimization method using improved orthogonal algorithm based on large data
- Gradient estimation with simultaneous perturbation and compressive sensing
- L0-Regularized Learning for High-Dimensional Additive Hazards Regression
- High-dimensional optimization and probability. With a view towards data science
- Predicting solutions of large-scale optimization problems via machine learning: a case study in blood supply chain management
- Robust randomized optimization with k nearest neighbors
- Some optimization problems in multivariate statistics
- Nonsparse learning with latent variables
- Control-based algorithms for high dimensional online learning
- Learning to enumerate shifts for large-scale flexible personnel scheduling problems
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