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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

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Empirical Estimates in Economic and Financial Optimization Problems

Houda, Michal; Kaňková, Vlasta - In: Bulletin of the Czech Econometric Society 19 (2012)

Many applications from economic and financial practice lead to optimization problems depending on a probability measure. A complete knowledge of the "underlying" measure is a necessary assumption to determine an exact optimal solution and an exact optimal value. Since this condition is not...

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Wasserstein distributionally robust optimization and variation regularization

Gao, Rui; Chen, Xi; Kleywegt, Anton J. - In: Operations research 72 (2024) 3, pp. 1177-1191

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Data-driven distributionally robust surgery planning in flexible operating rooms over a Wasserstein ambiguity

Shehadeh, Kamel S. - In: Computers & operations research : and their … 146 (2022), pp. 1-16

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Distributionally robust stochastic optimization with Wasserstein distance

Gao, Rui; Kleywegt, Anton - In: Mathematics of operations research 48 (2023) 2, pp. 603-655

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Lipschitz Bernoulli utility functions

Ok, Efe A.; Weaver, Nik - In: Mathematics of operations research 48 (2023) 2, pp. 728-747

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Distributionally robust optimal power flow with contextual information

Esteban-Pérez, Adrián; Morales, Juan M. - In: European journal of operational research : EJOR 306 (2023) 3, pp. 1047-1058

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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

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A study of distributionally robust mixed-integer programming with Wasserstein metric : on the value of incomplete data

Ketkov, Sergey S. - In: European journal of operational research : EJOR 313 (2024) 2, pp. 602-615

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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