Computationally efficient approximations for distributionally robust optimization under moment and Wasserstein ambiguity
Year of publication: |
2022
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Authors: | Cheramin, Meysam ; Cheng, Jianqiang ; Jiang, Ruiwei ; Pan, Kai |
Published in: |
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 34.2022, 3, p. 1768-1794
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Subject: | distributionally robust optimization | moment information | principal component analysis | semidefinite programming | stochastic programming | Wasserstein distance | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Stochastischer Prozess | Stochastic process | Hauptkomponentenanalyse | Principal component analysis | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
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