Distributionally robust discrete optimization with entropic Value-at-Risk

DOI10.1016/j.orl.2014.09.004zbMath1408.90218OpenAlexW2004433626MaRDI QIDQ1785302

Daniel Zhuoyu Long, Jin Qi

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2014.09.004

zbMATH Keywords

robust optimizationdiscrete optimizationcoherent risk measure

Mathematics Subject Classification ID

Integer programming (90C10) Stochastic programming (90C15)

Related Items (4)

Frameworks and results in distributionally robust optimization ⋮ Entropy based risk measures ⋮ Balancing the profit and capacity under uncertainties: a target‐based distributionally robust knapsack problem ⋮ The Discrete Moment Problem with Nonconvex Shape Constraints

Cites Work

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• Solving stochastic programs with integer recourse by enumeration: A framework using Gröbner basis reductions
• Robust discrete optimization and its applications
• Robust discrete optimization and network flows
• On safe tractable approximations of chance constraints
• Entropic value-at-risk: a new coherent risk measure
• The Price of Robustness
• Convex Approximations of Chance Constrained Programs
• On the complexity of a class of combinatorial optimization problems with uncertainty

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