A modified exchange algorithm for distributional robust optimization and applications in risk management
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Publication:6092503
DOI10.1111/itor.12913OpenAlexW3110825660MaRDI QIDQ6092503
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Publication date: 23 November 2023
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/itor.12913
convergence analysisdistributionally robust optimizationexchange methodsemi-definite semi-infinite programmingworst optimized certainty equivalent risk
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