A note on distributionally robust optimization under moment uncertainty

DOI10.1515/jnma-2017-0020OpenAlexW2897745823MaRDI QIDQ1631405

Xiantao Xiao, Jia Wu, Qiang Liu, Li-wei Zhang

Publication date: 6 December 2018

Published in: Journal of Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jnma-2017-0020

zbMATH Keywords

distributionally robust optimizationambiguity setsmoothing Newton conjugate gradient methodtractable optimization reformulation

Mathematics Subject Classification ID

Nonlinear programming (90C30) Numerical analysis (65-XX)

Related Items (2)

Partition-based distributionally robust optimization via optimal transport with order cone constraints ⋮ Globalized distributionally robust optimization based on samples

Uses Software

• Gurobi

Cites Work

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• On distributionally robust chance-constrained linear programs
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• Distributionally Robust Convex Optimization
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Linear Matrix Inequalities with Stochastically Dependent Perturbations and Applications to Chance-Constrained Semidefinite Optimization

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