Models and algorithms for distributionally robust least squares problems
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Publication:403637
DOI10.1007/s10107-013-0681-9zbMath1293.93790OpenAlexW2006599749MaRDI QIDQ403637
Publication date: 29 August 2014
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-013-0681-9
semidefinite optimizationleast squares problemspolynomial time algorithmsKantorovich probabilityprobabilistic ambiguity
Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Semidefinite programming (90C22) Sensitivity (robustness) (93B35) Stochastic programming (90C15) Least squares and related methods for stochastic control systems (93E24)
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