Nonparametric Estimation of Uncertainty Sets for Robust Optimization.

Polina Alexeenko Eilyan Bitar

Published in: CoRR (2020)

Keyphrases

robust optimization
nonparametric estimation
chance constrained
mathematical programming
stochastic programming
robust counterpart
portfolio optimization
risk measures
decision theory
data points
lot sizing
semidefinite programming
artificial intelligence
objective function
nearest neighbor