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  • Search: subject:"phi-divergence"
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Year of publication
Subject
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phi-divergence 4 robust optimization 4 Multinomial sampling 3 Robust statistics 3 Robustes Verfahren 3 goodness-of-fit statistics 3 Change-point 2 Estimation theory 2 Mathematical programming 2 Mathematische Optimierung 2 Phi-divergence test statistics 2 Schätztheorie 2 chance constraint 2 Bias-variance trade-off 1 Data-driven optimization 1 Gambling test 1 General linear hypotheses 1 Generalized phi-divergence 1 Logistic regression model 1 Loglinear models 1 Maximum likelihood estimator 1 Mean-variance optimization 1 Minimum Phi-divergence estimator 1 Minimum phi-divergence estimator 1 Phi-divergence 1 Phi-divergence test statistic 1 Phi-divergence test-statistics 1 Portfolio selection 1 Portfolio-Management 1 Preliminary ϕ -divergence test estimator 1 Primary 62H15 1 Pseudorandom number generator 1 Regularization 1 Robust empirical optimization 1 Sampling 1 Secondary 62H17 1 Stichprobenerhebung 1 Theorie 1 Theory 1 Time series analysis 1
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Online availability
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Undetermined 8 Free 3
Type of publication
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Article 9 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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Undetermined 8 English 4
Author
All
Pardo, L. 4 Den Hertog, Dick 2 Martín, N. 2 Yanikoglu, I. 2 Anderson, Edward J. 1 Batsidis, A. 1 Batsidis, Apostolos 1 Ben-Tal, Aharon 1 Felipe, A. 1 Gotoh, Jun-ya 1 Hertog, Dick den 1 Hertog, Dirk den 1 Horváth, L. 1 Kim, Michael Jong 1 Kleijnen, Jack P.C. 1 Lim, Andrew E. B. 1 Martín, Nirian 1 Melenberg, Bertrand 1 Menendez, M. L. 1 Menéndez, M. 1 Pardo, Leandro 1 Pardo, M. 1 Philpott, Andy 1 Rennen, Gijs 1 Waegenaere, Anja De 1 Wegenkittl, Stefan 1 Yanıkoğlu, İhsan 1 Zografos, K. 1 Zografos, Konstantinos 1
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Institution
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Tilburg University, Center for Economic Research 2 Departamento de Estadistica, Universidad Carlos III de Madrid 1
Published in...
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Discussion Paper / Tilburg University, Center for Economic Research 2 Statistical Papers / Springer 2 INFORMS journal on computing : JOC 1 INFORMS journal on optimization 1 Journal of Applied Statistics 1 Journal of Multivariate Analysis 1 Management Science 1 Mathematics and Computers in Simulation (MATCOM) 1 Operations research letters 1 Statistics and Econometrics Working Papers 1
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Source
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RePEc 9 ECONIS (ZBW) 3
Showing 1 - 10 of 12
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Improving sample average approximation using distributional robustness
Anderson, Edward J.; Philpott, Andy - In: INFORMS journal on optimization 4 (2022) 1, pp. 90-124
Persistent link: https://www.econbiz.de/10013185210
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Adjustable Robust Parameter Design with Unknown Distributions
Den Hertog, Dick; Kleijnen, Jack P.C.; Yanikoglu, I. - Tilburg University, Center for Economic Research - 2013
Abstract This article presents a novel combination of robust optimization developed in mathematical programming, and robust parameter design developed in statistical quality control. Robust parameter design uses metamodels estimated from experiments with both controllable and environmental...
Persistent link: https://www.econbiz.de/10011091050
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Robust empirical optimization is almost the same as mean-variance optimization
Gotoh, Jun-ya; Kim, Michael Jong; Lim, Andrew E. B. - In: Operations research letters 46 (2018) 4, pp. 448-452
Persistent link: https://www.econbiz.de/10011916169
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Safe Approximations of Chance Constraints Using Historical Data
Den Hertog, Dick; Yanikoglu, I. - Tilburg University, Center for Economic Research - 2011
This paper proposes a new way to construct uncertainty sets for robust optimization. Our approach uses the available historical data for the uncertain parameters and is based on goodness-of-fit statistics. It guarantees that the probability that the uncertain constraint holds is at least the...
Persistent link: https://www.econbiz.de/10011092359
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Change point for multinomial data using phi-divergence test statistics
Batsidis, Apostolos; Martín, Nirian; Pardo, Leandro; … - Departamento de Estadistica, Universidad Carlos III de … - 2011
We propose two families of maximally selected phi-divergence tests for studying change point locations when the unknown …
Persistent link: https://www.econbiz.de/10008788577
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Preliminary phi-divergence test estimators for linear restrictions in a logistic regression model
Menéndez, M.; Pardo, L.; Pardo, M. - In: Statistical Papers 50 (2009) 2, pp. 277-300
Persistent link: https://www.econbiz.de/10005615797
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Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
Ben-Tal, Aharon; Hertog, Dick den; Waegenaere, Anja De; … - In: Management Science 59 (2013) 2, pp. 341-357
random variables, expected utility, etc. We show that the robust counterpart of a linear optimization problem with [phi]-divergence …
Persistent link: https://www.econbiz.de/10010990425
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Change-point detection in multinomial data using phi-divergence test statistics
Batsidis, A.; Horváth, L.; Martín, N.; Pardo, L.; … - In: Journal of Multivariate Analysis 118 (2013) C, pp. 53-66
We propose two families of maximally selected phi-divergence tests to detect a change in the probability vectors of a …
Persistent link: https://www.econbiz.de/10011042090
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Safe approximations of ambiguous chance constraints using historical data
Yanıkoğlu, İhsan; Hertog, Dirk den - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 666-681
Persistent link: https://www.econbiz.de/10010203615
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Minimum phi-divergence estimators for loglinear models with linear constraints and multinomial sampling
Martín, N.; Pardo, L. - In: Statistical Papers 49 (2008) 1, pp. 15-36
Persistent link: https://www.econbiz.de/10008486789
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