Using affine policies to reformulate two-stage Wasserstein distributionally robust linear programs to be independent of sample size.
Youngchae ChoInsoon YangPublished in: CoRR (2023)
Keyphrases
- sample size
- linear program
- stochastic programming
- linear programming
- robust optimization
- random sampling
- model selection
- small sample
- primal dual
- column generation
- simplex method
- upper bound
- semi infinite
- optimal solution
- mixed integer linear program
- variance reduction
- statistical power
- multistage
- progressive sampling
- integer program
- objective function
- optimality conditions
- linear programming problems
- convex functions
- interior point methods
- decision trees
- worst case
- np hard
- dynamic programming
- statistical hypothesis testing
- data mining
- market equilibrium
- linear inequalities
- mathematical programming
- optimal policy
- lower bound
- data structure
- genetic algorithm