Globalized distributionally robust optimization problems under the moment-based framework (Q6611216)

scientific article; zbMATH DE number 7919200

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English	Globalized distributionally robust optimization problems under the moment-based framework	scientific article; zbMATH DE number 7919200

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title

Globalized distributionally robust optimization problems under the moment-based framework (English)

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26 September 2024

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Data-driven robust optimization

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Robust multiobjective optimization \& applications in portfolio optimization

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RCMARS: robustification of CMARS with different scenarios under polyhedral uncertainty set

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Robust counterpart optimization for the redundancy allocation problem in series-parallel systems with component mixing under uncertainty

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Distributionally Robust Stochastic Programming

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Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets

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Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

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Optimal asset allocation: risk and information uncertainty

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Data-driven chance constrained stochastic program

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Distributionally Robust Convex Optimization

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Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

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From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization

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Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems

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On the Complexity of Nonoverlapping Multivariate Marginal Bounds for Probabilistic Combinatorial Optimization Problems

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Distributionally robust single machine scheduling with risk aversion

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Distributionally robust chance constrained problems under general moments information

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Distributionally Robust Optimization and Its Tractable Approximations

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A distributionally robust optimization approach for two-stage facility location problems

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Portfolio selection under model uncertainty: a penalized moment-based optimization approach

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Models and algorithms for distributionally robust least squares problems

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TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION

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Robust chance-constrained support vector machines with second-order moment information

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Distributionally robust chance constraints for non-linear uncertainties

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Distributionally robust joint chance constraints with second-order moment information

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Time (in)consistency of multistage distributionally robust inventory models with moment constraints

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance

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Robust Satisficing

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Globalized Robust Optimization for Nonlinear Uncertain Inequalities

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Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems

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Technical Note—Deriving Robust and Globalized Robust Solutions of Uncertain Linear Programs with General Convex Uncertainty Sets

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Q5191310

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Distributionally robust parameter identification of a time-delay dynamical system with stochastic measurements

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A class of two-stage distributionally robust games

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Robustness properties of mean-variance portfolios

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Robust asset allocation

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Deriving robust counterparts of nonlinear uncertain inequalities

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Convexity and Optimization in Banach Spaces

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Stability advances in robust portfolio optimization under parallelepiped uncertainty

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Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

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Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

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Portfolio selection under distributional uncertainty: a relative robust CVaR approach

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Identifiers

DOI

10.1080/02331934.2023.2231483

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6611216