Optimal uncertainty size in distributionally robust inverse covariance estimation.

Jose H. Blanchet Nian Si

Published in: Oper. Res. Lett. (2019)

Keyphrases

robust optimization
robust estimation
estimation error
dynamic programming
optimal solution
stochastic programming
mathematical programming
correlation matrix
pairwise
covariance matrix
closed form
uncertain data
estimation accuracy
orientation estimation
localization method
robust regression