Distributionally Robust Optimization Using Cost-Aware Ambiguity Sets.

Mathijs Schuurmans Panagiotis Patrinos

Published in: IEEE Control. Syst. Lett. (2023)

Keyphrases

robust optimization
chance constrained
stochastic programming
mathematical programming
inventory management
portfolio optimization
decision theory
risk measures
semidefinite programming
chance constraints
lot sizing
total cost
training data
artificial intelligence
kernel function
high dimensional
decision making