Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
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Publication:5737736
DOI10.1137/16M106114XzbMath1365.90179MaRDI QIDQ5737736
Huifu Xu, Rudabeh Meskarian, Yong-Chao Liu
Publication date: 30 May 2017
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
entropic risk measuredistributionally robust optimizationreward-risk ratioimplicit Dinkelbach method
Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Semi-infinite programming (90C34)
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