Parameter estimation with expected and residual-at-risk criteria

DOI10.1016/j.sysconle.2008.07.007zbMath1154.93038OpenAlexW2117078660MaRDI QIDQ999831

Ufuk Topcu, Laurent M. El Ghaoui, Giuseppe Carlo Calafiore

Publication date: 10 February 2009

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2008.07.007

zbMATH Keywords

value at riskrandom uncertaintyrobust convex optimization\(\ell _{1}\) norm approximationuncertain least-squares

Mathematics Subject Classification ID

Convex programming (90C25) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (3)

International portfolio management with affine policies ⋮ Distributionally robust joint chance constraints with second-order moment information ⋮ Log-robust portfolio management with parameter ambiguity

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• Semidefinite optimization
• Exact Regularization of Convex Programs
• Robust Solutions to Uncertain Semidefinite Programs
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Semidefinite Programming

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