Data-driven minimax optimization with expectation constraints
Shuoguang Yang, Xudong Li, Guanghui Lan
| Year of publication: |
2025
|
|---|---|
| Authors: | Yang, Shuoguang ; Li, Xudong ; Lan, Guanghui |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 73.2025, 3, p. 1345-1365
|
| Subject: | Optimization | stochastic optimization | expectation constraints | minimax optimization | primal-dual methods | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Erwartungsbildung | Expectation formation | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2022.0110 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015445744