Hedging against Complexity: Distributionally Robust Optimization with Parametric Approximation.

Garud Iyengar Henry Lam Tianyu Wang

Published in: CoRR (2022)

Keyphrases

robust optimization
chance constrained
stochastic programming
portfolio selection
mathematical programming
portfolio optimization
lot sizing
decision theory
semidefinite programming
search algorithm
computational complexity
risk measures
objective function
support vector