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A modified exchange algorithm for distributional robust optimization and applications in risk management

Sun, Hailin; Zhang, Dali; Wu, Soon-Yi; Chen, Liang - In: International transactions in operational research : a … 29 (2022) 1, pp. 130-157

Persistent link: https://www.econbiz.de/10012630733

Convergence analysis for distributionally robust optimization and equilibrium problems

Sun, Hailin; Xu, Huifu - In: Mathematics of operations research 41 (2016) 2, pp. 377-401

Persistent link: https://www.econbiz.de/10011520425

Discrete approximation and quantification in distributionally robust optimization

Liu, Yongchao; Pichler, Alois; Xu, Huifu - In: Mathematics of operations research 44 (2019) 1, pp. 19-37

Persistent link: https://www.econbiz.de/10012001051

Distributionally robust equilibrium for continuous games : Nash and Stackelberg models

Liu, Yongchao; Xu, Huifu; Yang, Shu-Jung Sunny; Zhang, Jin - In: European journal of operational research : EJOR 265 (2018) 2, pp. 631-643

Persistent link: https://www.econbiz.de/10011811468

Robust unit commitment with n-1 security criteria

Goutani, Arash; Xu, Huifu; Pozo, David; Tri-Dung Nguyen - In: Mathematical methods of operations research 83 (2016) 3, pp. 373-408

Persistent link: https://www.econbiz.de/10011673675

A distributionally robust optimization approach for two-stage facility location problems

Gourtani, Arash; Tri-Dung Nguyen; Xu, Huifu - In: EURO journal on computational optimization 8 (2020) 2, pp. 141-172

Persistent link: https://www.econbiz.de/10012240032

Quantitative statistical robustness for tail-dependent law invariant risk measures

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685

Persistent link: https://www.econbiz.de/10012653706

Utility preference robust optimization with moment-type information structure

Guo, Shaoyan; Xu, Huifu; Zhang, Sainan - In: Operations research 72 (2024) 5, pp. 2241-2261

Persistent link: https://www.econbiz.de/10015361808

Shortfall risk models when information on loss function is incomplete

Delage, Erick; Guo, Shaoyan; Xu, Huifu - In: Operations research 70 (2022) 6, pp. 3511-3518

Persistent link: https://www.econbiz.de/10014307925

Preference Robust Optimization for Choice Functions on the Space of CDFs

Haskell, William B.; Xu, Huifu; Huang, Wenjie - 2022

In this paper, we consider decision-making problems where the decision maker’s (DM) utility/risk preferences are ambiguous but can be described by a general class of choice functions deﬁned over the space of cumulative distribution functions (CDFs) of random prospects. These choice functions...

Persistent link: https://www.econbiz.de/10014244899