Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems.
Erick DelageYinyu YePublished in: Oper. Res. (2010)
Keyphrases
- robust optimization
- data driven
- mathematical programming
- chance constrained
- stochastic programming
- portfolio optimization
- risk measures
- robust counterpart
- decision theory
- semidefinite programming
- portfolio selection
- lot sizing
- linear combination
- chance constraints
- bayesian networks
- linear programming
- optimization problems
- high dimensional
- cooperative
- reinforcement learning