Distributionally Robust Optimization with Principal Component Analysis.
Jianqiang ChengRichard Li-Yang ChenHabib N. NajmAli PinarCosmin SaftaJean-Paul WatsonPublished in: SIAM J. Optim. (2018)
Keyphrases
- robust optimization
- principal component analysis
- chance constrained
- stochastic programming
- mathematical programming
- principal components
- portfolio optimization
- dimensionality reduction
- independent component analysis
- feature extraction
- face recognition
- lot sizing
- face images
- singular value decomposition
- low dimensional
- risk measures
- semidefinite programming
- missing data
- computational complexity
- artificial intelligence
- chance constraints