A general solution for robust linear programs with distortion risk constraints
DOI10.1007/s10479-015-1786-8zbMath1318.90052OpenAlexW1970677470WikidataQ63258583 ScholiaQ63258583MaRDI QIDQ492796
Pavel Bazovkin, Karl C. Mosler
Publication date: 21 August 2015
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-015-1786-8
algorithmrobust optimizationdata depthcoherent risk measureweighted-mean trimmed regionsmultivariate risk measurerobust classification
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Convex programming (90C25) (n)-dimensional polytopes (52B11) Stochastic programming (90C15)
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