From data to decisions : distributionally robust optimization is optimal
Year of publication: |
2021
|
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Authors: | Parys, Bart P. G. van ; Mohajerin Esfahani, Peyman ; Kuhn, Daniel |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 6, p. 3387-3402
|
Subject: | data-driven optimization | distributionally robust optimization | large deviations theory | relative entropy | convex optimization | Theorie | Theory | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Entropie | Entropy |
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