Large-Scale Non-convex Stochastic Constrained Distributionally Robust Optimization.
Qi ZhangYi ZhouAshley Prater-BennetteLixin ShenShaofeng ZouPublished in: CoRR (2024)
Keyphrases
- robust optimization
- chance constrained
- stochastic programming
- stochastic optimization
- chance constraints
- mathematical programming
- portfolio optimization
- risk measures
- lot sizing
- convex hull
- semidefinite programming
- multistage
- linear programming
- machine learning
- decision making
- support vector machine
- optimization problems
- decision theory
- dynamic programming
- artificial intelligence
- learning algorithm
- genetic algorithm