A distributionally robust area under curve maximization model

DOI10.1016/j.orl.2020.05.012zbMath1479.90149arXiv2002.07345OpenAlexW3006426198MaRDI QIDQ2661500

Wenbo Ma, Miguel A. Lejeune

Publication date: 7 April 2021

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

Full work available at URL: https://arxiv.org/abs/2002.07345

zbMATH Keywords

machine learningWasserstein distancearea under the curvedistributionally robust optimization

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Robustness in mathematical programming (90C17)

Related Items (1)

Robust and distributionally robust optimization models for linear support vector machine

Uses Software

• UCI-ml

Cites Work

• Unnamed Item
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• Estimation of dependences based on empirical data. Transl. from the Russian by Samuel Kotz
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• Support-vector networks
• Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Regularization via Mass Transportation

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