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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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A decision rule approach for two-stage data-driven distributionally robust optimization problems with random recourse
Fan, Xiangyi; Hanasusanto, Grani A. - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 2, pp. 526-542
Persistent link: https://www.econbiz.de/10014532310
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Robust quadratic programming with mixed-integer uncertainty
Mittal, Areesh; Gokalp, Can; Hanasusanto, Grani A. - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 201-218
Persistent link: https://www.econbiz.de/10012242663
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Finding minimum volume circumscribing ellipsoids using generalized copositive programming
Mittal, Areesh; Hanasusanto, Grani A. - In: Operations research 70 (2022) 5, pp. 2867-2882
Persistent link: https://www.econbiz.de/10014307138
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Robustness to dependency in portfolio optimization using overlapping marginals
Doan, Xuan Vinh; Li, Xiaobo; Natarajan, Karthik - In: Operations research 63 (2015) 6, pp. 1468-1488
Persistent link: https://www.econbiz.de/10011422605
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K-adaptability in two-stage distributionally robust binary programming
Hanasusanto, Grani A.; Kuhn, Daniel; Wiesemann, Wolfram - In: Operations research letters 44 (2016) 1, pp. 6-11
Persistent link: https://www.econbiz.de/10011454009
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Robust growth-optimal portfolios
Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 2090-2109
Persistent link: https://www.econbiz.de/10011520389
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Technical note: two-stage sample robust optimization
Bertsimas, Dimitris; Shtern, Shimrit; Sturt, Bradley - In: Operations research 70 (2022) 1, pp. 624-640
Persistent link: https://www.econbiz.de/10012820676
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Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
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Sample out-of-sample inference based on Wasserstein distance
Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013
Persistent link: https://www.econbiz.de/10012546913