Distributionally robust optimization with decision dependent ambiguity sets.

Fengqiao Luo Sanjay Mehrotra

Published in: Optim. Lett. (2020)

Keyphrases

robust optimization
chance constrained
decision theory
stochastic programming
mathematical programming
portfolio optimization
decision making
lot sizing
risk measures
decision problems
machine learning
decision makers
semidefinite programming
model selection
decision theoretic