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Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls
16 references·16 citing·28 second hopsampled
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Optim…Robust Optimization (2009)Robust OptimizationLectures on Stochastic Programming: Modeling and Theory (2009)Lectures on Stochastic Progra…Adjustable robust solutions of uncertain linear programs (2004)Adjustable robust solutions o…Adjustable robust solutions of uncertain linear programs (2004)Adjustable robust solutions o…Monte Carlo Sampling Methods (2003)Monte Carlo Sampling MethodsThe Sample Average Approximation Method for Stochastic Discrete Optimization (2002)The Sample Average Approximat…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Studies in Mathematical Theory of Inventory and Production (1959)Studies in Mathematical Theor…Residuals-based distributionally robust optimization with covariate information (2023)Residuals-based distributiona…Humanitarian transportation network design via two-stage distributionally robust optimization (2023)Humanitarian transportation n…Robust Pricing and Production with Information Partitioning and Adaptation (2022)Robust Pricing and Production…Optimization-Based Scenario Reduction for Data-Driven Two-Stage Stochastic Optimization (2022)Optimization-Based Scenario R…Dynamic optimization with side information (2022)Dynamic optimization with sid…A target-based optimization model for bike-sharing systems: From the perspective of service efficiency and equity (2022)A target-based optimization m…A Data-Driven Approach to Multistage Stochastic Linear Optimization (2022)A Data-Driven Approach to Mul…Technical Note—Two-Stage Sample Robust Optimization (2021)Technical Note—Two-Stage Samp…Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes (2021)Optimal Transport-Based Distr…Distributionally Robust Optimization: A review on theory and applications (2021)Distributionally Robust Optim…Tractable reformulations of two-stage distributionally robust linear programs over the type- ∞ Wasserstein ball (2020)Tractable reformulations of t…Data-driven distributionally robust capacitated facility location problem (2020)Data-driven distributionally …Disruption Risk Mitigation in Supply Chains: The Risk Exposure Index Revisited (2019)Disruption Risk Mitigation in…The decision rule approach to optimization under uncertainty: methodology and applications (2018)The decision rule approach to…Scenario reduction revisited: fundamental limits and guarantees (2018)Scenario reduction revisited:…A copositive approach for two-stage adjustable robust optimization with uncertain right-hand sides (2017)A copositive approach for two…A Stochastic Approximation Method (1951)Coherent Measures of Risk (1999)Analysis of stochastic dual dynamic programming method (2010)Data-driven chance constrained stochastic program (2015)Theory of games and economic behavior (2019)Frameworks and Results in Distributionally Robust Optimization (2022)Robust Convex Optimization (1998)Recent advances in robust optimization: An overview (2013)A stochastic programming approach for supply chain network design under uncertainty (2004)Convex Approximations of Chance Constrained Programs (2006)Introduction to Stochastic Programming (2011)Stochastic Programming (1995)Robust solutions of uncertain linear programs (1999)A practical guide to robust optimization (2015)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)The Price of Robustness (2004)Theory and Applications of Robust Optimization (2010)Reliable p-median facility location problem: two-stage robust models and algorithms (2014)An adjustable robust optimization model for the 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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2009Robust Optimization3,008 cited
  • 2002The Sample Average Approximation Method for Stochastic Discrete Optimization1,989 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
  • 2013Solving two-stage robust optimization problems using a column-and-constraint generation method1,812 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 2004Adjustable robust solutions of uncertain linear programs1,428 cited
  • 2014Distributionally Robust Convex Optimization952 cited
  • 2003Monte Carlo Sampling Methods916 cited
  • 2004Adjustable robust solutions of uncertain linear programs833 cited
  • 1959Studies in Mathematical Theory of Inventory and Production696 cited
  • 2010Distributionally Robust Optimization and Its Tractable Approximations668 cited
  • 2022Distributionally Robust Stochastic Optimization with Wasserstein Distance

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634 cited
  • 2014Lectures on Stochastic Programming: Modeling and Theory, Second Edition578 cited
  • Cited by

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    • 2018The decision rule approach to optimization under uncertainty: methodology and applications64 cited
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    • 2017A copositive approach for two-stage adjustable robust optimization with uncertain right-hand sides50 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
    • 2022Dynamic optimization with side information46 cited
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