Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach.

John C. Duchi Peter W. Glynn Hongseok Namkoong

Published in: Math. Oper. Res. (2021)

Keyphrases

robust optimization
chance constrained
mathematical programming
stochastic programming
portfolio optimization
machine learning
maximum likelihood
risk measures
lot sizing
decision theory
semidefinite programming
evolutionary algorithm