Data-Driven Optimal Transport Cost Selection For Distributionally Robust Optimization.
José H. BlanchetYang KangKarthyek R. A. MurthyFan ZhangPublished in: WSC (2019)
Keyphrases
- robust optimization
- data driven
- chance constrained
- portfolio optimization
- mathematical programming
- stochastic programming
- inventory management
- expected cost
- minimum cost
- portfolio selection
- risk measures
- dynamic programming
- optimal solution
- linear programming
- decision theory
- cost function
- artificial intelligence
- lot sizing
- combinatorial optimization