Robust Optimization using Machine Learning for Uncertainty Sets.
Theja TulabandhulaCynthia RudinPublished in: CoRR (2014)
Keyphrases
- robust optimization
- machine learning
- chance constrained
- stochastic programming
- mathematical programming
- portfolio optimization
- robust counterpart
- portfolio selection
- decision theory
- lot sizing
- active learning
- chance constraints
- risk measures
- artificial intelligence
- learning algorithm
- semidefinite programming
- data mining
- supervised learning
- support vector machine
- reinforcement learning
- kernel methods
- linear programming
- computational complexity