Nonparametric Estimation of Uncertainty Sets for Robust Optimization.
Polina AlexeenkoEilyan BitarPublished in: CDC (2020)
Keyphrases
- robust optimization
- nonparametric estimation
- chance constrained
- stochastic programming
- mathematical programming
- risk measures
- robust counterpart
- portfolio optimization
- decision theory
- chance constraints
- semidefinite programming
- probability density function
- knn
- artificial intelligence
- lot sizing
- np hard
- training set
- feature extraction