A linearizing method for distributionally robust optimization problem and applications

zbMATH Open1289.90252MaRDI QIDQ2859874

Pengyu Lu, Ying Ji, Yijun Li, Yong Zhou

Publication date: 19 November 2013

Published in: Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

zbMATH Keywords

semi-infinite programmingportfolio managementmax-min problemdistributionally robust optimizationuncertain conditions

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Semi-infinite programming (90C34)

Related Items (4)

Distributionally robust mixed integer linear programs: persistency models with applications ⋮ Linearized Robust Counterparts of Two-Stage Robust Optimization Problems with Applications in Operations Management ⋮ Distributionally Robust Linear and Discrete Optimization with Marginals ⋮ An Approximation Scheme for Distributionally Robust Nonlinear Optimization

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