Distributionally Robust Stochastic Programming with Binary Random Variables
Shipra AgrawalYichuan DingAmin SaberiYinyu YePublished in: CoRR (2009)
Keyphrases
- stochastic programming
- random variables
- robust optimization
- multistage
- chance constrained
- graphical models
- linear program
- probability distribution
- stochastic optimization problems
- latent variables
- joint distribution
- asset liability management
- conditional independence
- bayesian networks
- distribution function
- conditional probabilities
- mathematical programming
- normal distribution
- independent and identically distributed
- conditionally independent
- probabilistic model
- probabilistic inference
- decision theory
- continuous variables
- marginal distributions
- identically distributed
- random vectors
- computational complexity
- lot sizing