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Smoothed f-Divergence Distributionally Robust Optimization: Exponential Rate Efficiency and Complexity-Free Calibration.
Zhenyuan Liu
Bart P. G. Van Parys
Henry Lam
Published in:
CoRR (2023)
Keyphrases
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robust optimization
chance constrained
mathematical programming
stochastic programming
computational complexity
risk measures
lot sizing
portfolio optimization
decision problems
semidefinite programming
worst case
linear combination
decision theory
chance constraints