Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes.
Jose H. BlanchetKarthyek R. A. MurthyFan ZhangPublished in: Math. Oper. Res. (2022)
Keyphrases
- structural properties
- robust optimization
- chance constrained
- mathematical programming
- stochastic programming
- portfolio optimization
- inventory management
- risk measures
- portfolio selection
- tree width
- lot sizing
- linear programming
- semidefinite programming
- chance constraints
- decision theory
- worst case
- special case
- minimum cost
- learning algorithm