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ArticleModels and algorithms for distributionally robust least squares problems

Sanjay Mehrotra2013

Article2013

Models and algorithms for distributionally robust least squares problems

Sanjay Mehrotra · He Zhang

46 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Statistical and numerical algorithms

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References

1989Handbooks in operations research and management science 2010Stochastic Programming 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems 2005A Min-Max Solution of an Inventory Problem 2003Stochastic Programming Models 2007Ambiguity in portfolio selection 2000On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs 2010Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

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2017Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations 2022Frameworks and Results in Distributionally Robust Optimization 2020Distributionally Robust Learning 2015Convex Optimal Uncertainty Quantification

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Year2013

Typearticle

Published2013-05-07

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations46

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10107-013-0681-9

openalex_workW2006599749

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