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Efficient solution selection for two-stage stochastic programs
Fei, Xin; Gülpınar, Nalân; Branke, Jürgen - In: European journal of operational research : EJOR 277 (2019) 3, pp. 918-929
Persistent link: https://www.econbiz.de/10012102211
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Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
Luo, Fengqiao; Mehrotra, Sanjay - In: European journal of operational research : EJOR 278 (2019) 1, pp. 20-35
Persistent link: https://www.econbiz.de/10012102588
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A distance for probability spaces, and long-term values in Markov decision processes and repeated games
Renault, Jérôme; Venel, Xavier - 2017
Persistent link: https://www.econbiz.de/10012221221
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Wasserstein distributionally robust shortest path problem
Wang, Zhuolin; You, Keyou; Song, Shiji; Zhang, Yuli - In: European journal of operational research : EJOR 284 (2020) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10012238573
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Long-term values in Markov decision processes and repeated games, and a new distance for probability spaces
Renault, Jérôme; Venel, Xavier - In: Mathematics of operations research 42 (2017) 2, pp. 349-376
Persistent link: https://www.econbiz.de/10011684412
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Primal-dual hybrid gradient method for distributionally robust optimization problems
Liu, Yongchao; Yuan, Xiaoming; Zeng, Shangzhi; Zhang, Jin - In: Operations research letters 45 (2017) 6, pp. 625-630
Persistent link: https://www.econbiz.de/10011783059
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Data-driven risk-averse stochastic optimization with Wasserstein metric
Zhao, Chaoyue; Guan, Yongpei - In: Operations research letters 46 (2018) 2, pp. 262-267
Persistent link: https://www.econbiz.de/10011824909
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A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
Xu, Guanglin; Burer, Samuel - In: Computational Management Science : CMS 15 (2018) 1, pp. 111-134
Persistent link: https://www.econbiz.de/10011860879
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Portfolio optimization using robust mean absolute deviation model : Wasserstein metric approach
Hosseini-Nodeh, Zohreh; Shiraz, Rashed Khanjani; … - In: Finance research letters 54 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014472705
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Finite-sample guarantees for Wasserstein distributionally robust optimization : breaking the curse of dimensionality
Gao, Rui - In: Operations research 71 (2023) 6, pp. 2291-2306
Persistent link: https://www.econbiz.de/10014445041