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Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures.
Krzysztof Postek
Dick den Hertog
Bertrand Melenberg
Published in:
SIAM Rev. (2016)
Keyphrases
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computationally tractable
robust optimization
risk measures
chance constrained
stochastic programming
mathematical programming
portfolio optimization
portfolio selection
lot sizing
multi objective
np hard
bayesian networks
special case
linear programming
multistage
semidefinite programming