Distributionally robust stochastic programs with side information based on trimmings

DOI10.1007/s10107-021-01724-0zbMath1504.90077arXiv2009.10592OpenAlexW3216535839MaRDI QIDQ2089796

Yanyan Li

Publication date: 24 October 2022

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.10592

zbMATH Keywords

portfolio optimizationnewsvendor problemside informationdistributionally robust optimizationpartial mass transportation problemtrimmings

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15)

Related Items (2)

Frameworks and results in distributionally robust optimization ⋮ Contextual robust optimisation with uncertainty quantification

Uses Software

• GitHub

Cites Work

• Unnamed Item
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• Probability, Random Processes, and Ergodic Properties
• On Choosing and Bounding Probability Metrics
• The Big Data Newsvendor: Practical Insights from Machine Learning
• Technical Note—Two-Stage Sample Robust Optimization

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