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Data-Driven Distributionally Robust Optimization over Time.
Kevin-Martin Aigner
Andreas Bärmann
Kristin Braun
Frauke Liers
Sebastian Pokutta
Oskar Schneider
Kartikey Sharma
Sebastian Tschuppik
Published in:
INFORMS J. Optim. (2023)
Keyphrases
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robust optimization
data driven
chance constrained
mathematical programming
stochastic programming
portfolio optimization
semidefinite programming
lot sizing
risk measures
np hard
feature selection
reinforcement learning
decision theory