Concepedia

Data-driven two-stage distributionally robust optimization with risk aversion

Ripeng Huang, Shaojian Qu, Zaiwu Gong, Mark Goh, Ying Ji

Applied Soft Computing · 2019 · 45 citations · 41 references

DOI

Concepts

References

41

YALMIP : a toolbox for modeling and optimization in MATLAB

Johan Löfberg · 2005 · 9.2K citations

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Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

, , +17

Probability Inequalities for Sums of Bounded Random Variables

Wassily Hoeffding · Journal of the American Statistical Association · 1963 · 4.8K citations

, , +12

Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

Erick Delage, Yinyu Ye · Operations Research · 2010 · 1.9K citations

, , +16

Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations

Peyman Mohajerin Esfahani, Daniel Kühn · Infoscience (Ecole Polytechnique Fédérale de Lausanne) · 2017 · 1.8K citations · Full text

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