Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models.
Fengqiao LuoSanjay MehrotraPublished in: Eur. J. Oper. Res. (2019)
Keyphrases
- robust optimization
- regression model
- decomposition algorithm
- mathematical programming
- stochastic programming
- regression methods
- model selection
- working set
- decomposition method
- lot sizing
- semidefinite programming
- decision theory
- prediction model
- neural network
- class labels
- missing data
- graphical models
- training data
- decision trees
- data mining