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Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation.
Viet Anh Nguyen
Soroosh Shafieezadeh-Abadeh
Man-Chung Yue
Daniel Kuhn
Wolfram Wiesemann
Published in:
CoRR (2019)
Keyphrases
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robust optimization
chance constrained
mathematical programming
stochastic programming
portfolio optimization
risk measures
maximum likelihood
objective function
cooperative
np hard
dimensionality reduction
linear programming
approximation algorithms