Exploiting partial correlations in distributionally robust optimization.

Divya Padmanabhan Karthik Natarajan Karthyek Murthy

Published in: Math. Program. (2021)

Keyphrases

optimal solution
robust optimization
mathematical programming
linear programming
stochastic programming
chance constrained
portfolio optimization
semidefinite programming
decision theory
risk measures
artificial intelligence
special case
lot sizing
machine learning
chance constraints