Worst-case expected shortfall with univariate and bivariate marginals
Year of publication: |
2021
|
---|---|
Authors: | Dhara, Anulekha ; Das, Bikramjit ; Natarajan, Karthik |
Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 33.2021, 1, p. 370-389
|
Subject: | distributionally robust optimization | bivariate marginals | tree | Theorie | Theory | Robustes Verfahren | Robust statistics | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory |
-
Sample out-of-sample inference based on Wasserstein distance
Blanchet, Jose, (2021)
-
Tight tail probability bounds for distribution-free decision making
Roos, Ernst, (2022)
-
Distributionally robust optimization with confidence bands for probability density functions
Chen, Xi, (2022)
- More ...
-
On the Heavy-Tail Behavior of the Distributionally Robust Newsvendor
Das, Bikramjit, (2018)
-
On the heavy-tail behavior of the distributionally robust newsvendor
Das, Bikramjit, (2021)
-
SEQUENTIAL LAGRANGE MULTIPLIER CONDITIONS FOR MINIMAX PROGRAMMING PROBLEMS
DHARA, ANULEKHA, (2008)
- More ...