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Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization.
Henry Lam
Published in:
Oper. Res. (2019)
Keyphrases
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robust optimization
chance constrained
mathematical programming
stochastic programming
information theoretic
portfolio optimization
machine learning
lot sizing
risk measures
decision theory
chance constraints
artificial intelligence
reinforcement learning
optimization problems
linear programming