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Quantifying Distributional Model Risk via Optimal Transport
16 references·16 citing·26 second hopsampled
Quantifying Distributional Model Risk via Optimal Transport (2019)Quantifying Distributional Model Risk via…Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Distributionally Robust Stoch…Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Data-Driven Distributionally …Data-driven chance constrained stochastic program (2015)Data-driven chance constraine…Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Robust Solutions of Optimizat…Ruin Probabilities (2010)Ruin ProbabilitiesDistributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Optim…Robust Optimization (2009)Robust 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References

  • 2004The Price of Robustness4,620 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2009Robust Optimization3,008 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations1,869 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 1999Infinite Dimensional Analysis1,120 cited
  • 2014Distributionally Robust Convex Optimization952 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 2012Robust Solutions of Optimization Problems Affected by Uncertain Probabilities752 cited
  • 2005Robust Control of Markov Decision Processes with Uncertain Transition Matrices700 cited
  • 2010Distributionally Robust Optimization and Its Tractable Approximations668 cited
  • 2022Distributionally Robust Stochastic Optimization with Wasserstein Distance634 cited
  • 2005Robust Dynamic Programming579 cited
  • 2010Ruin Probabilities572 cited
  • 2015Data-driven chance constrained stochastic program

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488 cited

Cited by

  • 2019On distributionally robust chance constrained programs with Wasserstein distance257 cited
  • 2021Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach195 cited
  • 2022Technical Note—Data-Driven Chance Constrained Programs over Wasserstein Balls138 cited
  • 2021Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances136 cited
  • 2022Wasserstein Distributionally Robust Optimization and Variation Regularization101 cited
  • 2020Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets83 cited
  • 2022Finite-Sample Guarantees for Wasserstein Distributionally Robust Optimization: Breaking the Curse of Dimensionality77 cited
  • 2019Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization63 cited
  • 2022Chance-constrained optimization under limited distributional information: A review of reformulations based on sampling and distributional robustness59 cited
  • 2019Training individually fair ML models with Sensitive Subspace Robustness57 cited
  • 2021Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity55 cited
  • 2019Controlling risk and demand ambiguity in newsvendor models52 cited
  • 2020Regret in the Newsvendor Model with Demand and Yield Randomness50 cited
  • 2023Robust distortion risk measures50 cited
  • 2021Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes50 cited
  • 2020Tractable reformulations of two-stage distributionally robust linear programs over the type- ∞ Wasserstein ball49 cited