A note on distributionally robust optimization under moment uncertainty.
Qiang LiuJia WuXiantao XiaoLiwei ZhangPublished in: J. Num. Math. (2018)
Keyphrases
- robust optimization
- chance constrained
- stochastic programming
- mathematical programming
- portfolio optimization
- robust counterpart
- portfolio selection
- lot sizing
- decision theory
- semidefinite programming
- risk measures
- genetic algorithm
- feature selection
- probability distribution
- artificial intelligence
- linear programming
- multistage
- machine learning
- cooperative
- optimal solution
- objective function
- chance constraints