Data-Driven Distributionally Robust Risk-Averse Two-Stage Stochastic Linear Programming over Wasserstein Ball.
Yining GuYicheng HuangYanjun WangPublished in: J. Optim. Theory Appl. (2024)
Keyphrases
- risk averse
- stochastic programming
- linear program
- data driven
- linear programming
- risk neutral
- robust optimization
- multistage
- risk aversion
- utility function
- decision makers
- mathematical programming
- dynamic programming
- integer programming
- portfolio management
- primal dual
- optimal solution
- expected utility
- objective function