Search Results - subject:"phi-divergence"

Testing for multinormality with goodness-of-fit tests based on phi divergence measures

Madukaife, Mbanefo S.; Nduka, Uchenna C.; Ossai, … - In: Statistics in transition : an international journal of … 26 (2025) 2, pp. 129-149

In this paper, a beta transform of multivariate normal datasets is obtained. The phi divergence measure, DΦ …. Three versions of the statistic are derived from three known phi divergence measures that are based on a sum of squares. The …Statistics in Transition new series vol.26, 2025, 2, Testing for multinormality with goodness-of-fit tests based on phi …

Persistent link: https://www.econbiz.de/10015447277

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

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

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

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

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

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

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

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

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