A Distributionally Robust Optimization Approach for Multivariate Linear Regression under the Wasserstein Metric.
Ruidi ChenIoannis Ch. PaschalidisPublished in: CDC (2019)
Keyphrases
- robust optimization
- multivariate linear regression
- chance constrained
- stochastic programming
- mathematical programming
- portfolio optimization
- metric learning
- risk measures
- euclidean distance
- lot sizing
- chance constraints
- distance function
- decision theory
- semidefinite programming
- artificial intelligence
- distance metric
- distance measure
- decision making