Distributionally robust optimization. A review on theory and applications
type: Item
instance of: scholarly article
title: Distributionally robust optimization. A review on theory and applications
zbMATH Open document ID: 1485.90083
author: Fengming Lin
author: Xiaolei Fang
author: Zheming Gao
published in: Numerical Algebra, Control and Optimization
publication date: 2022-02-10T00:00:00Z
Mathematics Subject Classification ID: 90C17
Mathematics Subject Classification ID: 90-02
Mathematics Subject Classification ID: 90C47
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 7471930
zbMATH Keywords: distributionally robust optimization
zbMATH Keywords: uncertain decision-making
zbMATH Keywords: tractable methods
zbMATH Keywords: machine learning
zbMATH Keywords: operations research
describes a project that uses: EMD
describes a project that uses: ROME
MaRDI profile type: Publication
full work available at URL: naco.2021057
OpenAlex ID: W3217581017
cites work: Second-order cone programming
cites work: Measure theory and probability theory.
cites work: Oracle-Based Robust Optimization via Online Learning
cites work: Robust convex optimization
cites work: Robust solutions of uncertain linear programs
cites work: Robust solutions of linear programming problems contaminated with uncertain data
cites work: Theory and Applications of Robust Optimization
cites work: Characterization of the equivalence of robustification and regularization in linear and matrix regression
cites work: Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
cites work: Data-driven robust optimization
cites work: Robust sample average approximation
cites work: Optimal Inequalities in Probability Theory: A Convex Optimization Approach
cites work: The Price of Robustness
cites work: Tractable approximations to robust conic optimization problems
cites work: Robust optimization - a comprehensive survey
cites work: Q3093230
cites work: Introduction to Stochastic Programming
cites work: Sample Out-of-Sample Inference Based on Wasserstein Distance
cites work: Robust Wasserstein profile inference and applications to machine learning
cites work: The Monge-Kantorovich problem: achievements, connections, and perspectives
cites work: Quantitative concentration inequalities for empirical measures on non-compact spaces
cites work: Algorithms for the solution of stochastic dynamic minimax problems
cites work: A scenario aggregation algorithm for the solution of stochastic dynamic minimax problems
cites work: Ambiguous Risk Measures and Optimal Robust Portfolios
cites work: On distributionally robust chance-constrained linear programs
cites work: Q4558150
cites work: Distributionally Robust Stochastic Knapsack Problem
cites work: Distributionally Robust Optimization with Principal Component Analysis
cites work: Cooperative Data-Driven Distributionally Robust Optimization
cites work: Sublinear optimization for machine learning
cites work: An exact penalty function for semi-infinite programming
cites work: Linear Programming
cites work: Central limit theorems for the Wasserstein distance between the empirical and the true distributions
cites work: Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
cites work: Q4040285
cites work: Exact algorithms for the chance-constrained vehicle routing problem
cites work: Robustness to dependency in portfolio optimization using overlapping marginals
cites work: Variance-based regularization with convex objectives
cites work: Learning models with uniform performance via distributionally robust optimization
cites work: Q5543208
cites work: The minimax approach to stochastic programming and an illustrative application
cites work: Uncertainties in minimax stochastic programs
cites work: Robust Solutions to Least-Squares Problems with Uncertain Data
cites work: Ambiguous chance constrained problems and robust optimization
cites work: Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
cites work: On the rate of convergence in Wasserstein distance of the empirical measure
cites work: Stochastic Optimization: A Review
cites work: Q4998952
cites work: Recent advances in robust optimization: an overview
cites work: The Distribution Free Newsboy Problem: Review and Extensions
cites work: Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
cites work: The Distributionally Robust Chance-Constrained Vehicle Routing Problem
cites work: On Choosing and Bounding Probability Metrics
cites work: Distributionally Robust Optimization and Its Tractable Approximations
cites work: Probability approximation schemes for stochastic programs with distributionally robust second-order dominance constraints
cites work: Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally robust multi-item newsvendor problems with multimodal demand distributions

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: A distributionally robust perspective on uncertainty quantification and chance constrained programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Semi-Infinite Programming: Theory, Methods, and Applications

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Q3093224

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: On sharpness of Tchebycheff-type inequalities

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Data-driven chance constrained stochastic program

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Q4309474

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Data-driven robust mean-CVaR portfolio selection under distribution ambiguity

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: On mass transportation

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Q4386878

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: 10.1162/153244303321897726

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Maximum entropy and the moment problem

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Lipschitz Behavior of the Robust Regularization

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Portfolio selection under model uncertainty: a penalized moment-based optimization approach

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Recent developments on the moment problem

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: A new exact penalty method for semi-infinite programming problems

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Models and algorithms for distributionally robust least squares problems

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Q3224719

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: On reduced semidefinite programs for second order moment bounds with applications

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Robust Stochastic Approximation Approach to Stochastic Programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Convex Approximations of Chance Constrained Programs

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Approximations for Probability Distributions and Stochastic Optimization Problems

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Lectures on Choquet's theorem

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally robust SDDP

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Robust Mean-Covariance Solutions for Stochastic Optimization

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Computationally tractable counterparts of distributionally robust constraints on risk measures

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Identifying effective scenarios in distributionally robust stochastic programs with total variation distance

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Applying the minimax criterion in stochastic recourse programs

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: The earth mover's distance as a metric for image retrieval

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Chebyshev Inequalities for Products of Random Variables

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Q4027715

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Regularization via Mass Transportation

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: On duality theory of conic linear problems.

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Worst-case distribution analysis of stochastic programs

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Semi-infinite programming, duality, discretization and optimality conditions†

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally Robust Stochastic Programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: On a Class of Minimax Stochastic Programs

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Lectures on stochastic programming. Modeling and theory.

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Minimax analysis of stochastic problems

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: A distributionally robust optimization approach for outpatient colonoscopy scheduling

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Moment inequalities for sums of random matrices and their applications in optimization

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Technical Note—A Duality Theory for Convex Programming with Set-Inclusive Constraints

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Q4448952

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Convergence analysis for distributionally robust optimization and equilibrium problems

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Generalized Gauss inequalities via semidefinite programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally robust expectation inequalities for structured distributions

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Semidefinite Programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Generalized Chebyshev Bounds via Semidefinite Programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Stochastic 0-1 linear programming under limited distributional information

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Statistical decision functions which minimize the maximum risk

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Feasible Method for Semi-Infinite Programs

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Wasserstein distributionally robust shortest path problem

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Likelihood robust optimization for data-driven problems

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Robust Markov Decision Processes

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally Robust Convex Optimization

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Q4254875

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Robustness and regularization of support vector machines

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Robust Regression and Lasso

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: A distributional interpretation of robust optimization

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Solving semi-infinite programs by smoothing projected gradient method

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Optimality conditions for semi-infinite and generalized semi-infinite programs via lower order exact penalty functions

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Expected Value of Distribution Information for the Newsvendor Problem

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Newsvendor optimization with limited distribution information

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Stochastic dual dynamic integer programming

Distributionally robust optimization. A review on theory and applications (cites work)
cites work: Distributionally robust joint chance constraints with second-order moment information

Distributionally robust optimization. A review on theory and applications (DOI)
DOI: 10.3934/NACO.2021057