Data-driven two-stage distributionally robust optimization with risk aversion.
Ripeng HuangShaojian QuZaiwu GongMark GohYing JiPublished in: Appl. Soft Comput. (2020)
Keyphrases
- robust optimization
- risk aversion
- risk averse
- stochastic programming
- expected utility
- utility function
- decision theory
- mathematical programming
- portfolio optimization
- portfolio selection
- decision theoretic
- exchange rate
- portfolio management
- decision makers
- multi agent systems
- semidefinite programming
- pareto optimal
- belief functions
- lot sizing
- cost function