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Exploiting Partial Correlations in Distributionally Robust Optimization
Padmanabhan, Divya; Natarajan, Karthik; Murthy, Karthyek - 2018
In this paper, we identify partial correlation information structures that allow for simpler reformulations in … programming reformulation which explicitly captures partially known correlation information between uncertain processing times of …
Persistent link: https://www.econbiz.de/10014110557
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Optimal uncertainty size in distributionally robust inverse covariance estimation
Blanchet, Jose; Si, Nian - In: Operations research letters 47 (2019) 6, pp. 618-621
Persistent link: https://www.econbiz.de/10012131899
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The usefulness of optimal design for generating blocked and split-plot response surface experiments
Goos, Peter (contributor) - 2005
Persistent link: https://www.econbiz.de/10003275915
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Synthetic optimization problem generation : show us the correlations!
Reilly, Charles H. - In: INFORMS journal on computing : JOC 21 (2009) 3, pp. 458-467
Persistent link: https://www.econbiz.de/10003883475
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Price of correlations in stochastic optimization
Agrawal, Shipra; Ding, Yichuan; Saberi, Amin; Ye, Yinyu - In: Operations research 60 (2012) 1, pp. 150-162
Persistent link: https://www.econbiz.de/10009532641
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Nonlinear forecasting of the Gold Miner Spread : an application of correlations filters
Dunis, Christian; Laws, Jason; Middleton, Peter W.; … - In: Intelligent systems in accounting finance and … 20 (2013) 4, pp. 207-231
Persistent link: https://www.econbiz.de/10010233196
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Directed principal component analysis
Kao, Yi-hao; Van Roy, Benjamin - In: Operations research 62 (2014) 4, pp. 957-972
Persistent link: https://www.econbiz.de/10010403095
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Portfolio Optimization with Noisy Covariance Matrices
Menchero, Jose - 2020
sampling error in the asset covariance matrix leads to systematic biases in the volatility and correlation forecasts of these …
Persistent link: https://www.econbiz.de/10012834752
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Portfolio optimization with noisy covariance matrices
Menchero, Jose; Ji, Lei - In: Journal of investment management : JOIM 17 (2019) 1, pp. 77-91
Persistent link: https://www.econbiz.de/10012254261
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A Genco self-scheduling problem with correlated prices using a new robust optimization approach
Jalilvand-Nejad, Amir; Shafaei, Rasoul; Shahriari, Hamid - In: International journal of production research 55 (2017) 11/12, pp. 3249-3265
Persistent link: https://www.econbiz.de/10011655190