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Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity.
Meysam Cheramin
Jianqiang Cheng
Ruiwei Jiang
Kai Pan
Published in:
INFORMS J. Comput. (2022)
Keyphrases
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robust optimization
computationally efficient
mathematical programming
chance constrained
stochastic programming
portfolio optimization
decision theory
risk measures
computational complexity
lot sizing
semidefinite programming
genetic algorithm