A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming.
Guanglin XuSamuel BurerPublished in: Comput. Manag. Sci. (2018)
Keyphrases
- data driven
- linear programming
- optimal solution
- dynamic programming
- worst case
- lower bound
- robust optimization
- linear program
- upper bound
- np hard
- risk neutral
- closed form
- estimation error
- uncertain information
- decision making
- mathematical programming
- robust stability
- expected error
- incomplete information
- asymptotically optimal
- primal dual
- constraint propagation
- optimal control
- image sequences