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A distributionally robust perspective on uncertainty quantification and chance constrained programming.

Grani Adiwena HanasusantoVladimir RoitchDaniel KuhnWolfram Wiesemann
Published in: Math. Program. (2015)
Keyphrases
  • robust optimization
  • chance constrained
  • chance constrained programming
  • stochastic programming
  • mathematical programming
  • semidefinite programming
  • genetic algorithm
  • lot sizing
  • input output
  • decision theory