Search Results - subject:"distributionally robust optimization"

Norm constrained empirical portfolio optimization with stochastic dominance : robust optimization non-asymptotics

Arvanitis, Stelios - 2025

The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...

Persistent link: https://www.econbiz.de/10015194229

A distributionally robust optimization strategy for virtual bidding in two-settlement electricity markets

Audet, Xavier; Qako, Kliti; Lesage-Landry, Antoine - 2025

Persistent link: https://www.econbiz.de/10015386862

Wind farm layout optimization under uncertainty

Agra, Agostinho; Cerveira, Adelaide - In: Top : an official journal of the Spanish Society of … 32 (2024) 2, pp. 202-223

Persistent link: https://www.econbiz.de/10015187735

Handling uncertainty in the quay crane scheduling problem : a unified distributionally robust decision model

Rodrigues, Filipe; Agra, Agostinho - In: International transactions in operational research : a … 31 (2024) 2, pp. 721-748

Persistent link: https://www.econbiz.de/10014441121

Distributionally robust scheduling of stochastic knapsack arrivals

Bos, Hayo; Boucherie, Richard J.; Hans, Erwin W.; … - In: Computers & operations research : an international journal 167 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014565010

Distributionally robust optimization for the multi-period multi-item lot-sizing problems under yield uncertainty

Metzker Soares, Paula; Thevenin, Simon; Adulyasak, Yossiri - 2024

Persistent link: https://www.econbiz.de/10014483395

Mitigating optimistic bias in entropic risk estimation and optimization with an application to insurance

Sadana, Utsav; Delage, Erick; Georghiou, Angelos - 2024

Persistent link: https://www.econbiz.de/10015190378

Distributional robustness based on Wasserstein-metric approach for humanitarian logistics problem under road disruptions

Gao, Yingying; Ding, Xianghai; Yu, Wuyang - In: Operations research perspectives 13 (2024), pp. 1-15

relief items. Herein, we propose a two-stage programming model utilizing the distributionally robust optimization (DRO … traditional robust model. Furthermore, we offer managerial insights based on the application of distributionally robust … optimization methodology in humanitarian logistics. …

Persistent link: https://www.econbiz.de/10015372647

Coordinated replenishment game and learning under time dependency and uncertainty of the parameters

Ramirez, Stefanny; Brandenburg, Laurence H. van; Bauso, … - In: Dynamic games and applications : DGA 13 (2023) 1, pp. 326-352

Persistent link: https://www.econbiz.de/10014225796

Distributionally robust end-to-end portfolio construction

Costa, Giorgio; Iyengar, Garud N. - In: Quantitative finance 23 (2023) 10, pp. 1465-1482

Persistent link: https://www.econbiz.de/10014419171