Kernel Distributionally Robust Optimization.

Jia-Jie Zhu Wittawat Jitkrittum Moritz Diehl Bernhard Schölkopf

Published in: CoRR (2020)

Keyphrases

robust optimization
chance constrained
stochastic programming
mathematical programming
kernel methods
portfolio optimization
semidefinite programming
kernel function
decision theory
feature space
kernel matrix
support vector
risk measures
lot sizing
learning tasks
special case
chance constraints