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Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
16 references·2 citing·43 second hop
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References

  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 1993The integer L-shaped method for stochastic integer programs with complete recourse778 cited
  • 2012Robust Solutions of Optimization Problems Affected by Uncertain Probabilities752 cited
  • 2005A Min-Max Solution of an Inventory Problem552 cited
  • 2005Ambiguous chance constrained problems and robust optimization303 cited
  • 2007Ambiguity in portfolio selection261 cited
  • 1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse252 cited
  • 2002Minimax analysis of stochastic problems244 cited
  • 2011The 1/N investment strategy is optimal under high model ambiguity221 cited
  • 2010Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion215 cited
  • 2015Likelihood robust optimization for data-driven problems176 cited
  • 2007Ambiguous Risk Measures and Optimal Robust Portfolios165 cited
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  • 1987The minimax approach to stochastic programming and an illustrative application154 cited
  • 2004

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On a Class of Minimax Stochastic Programs
122 cited
  • 2018Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity120 cited
  • Cited by

    • 2019Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models58 cited
    • 2023Residuals-based distributionally robust optimization with covariate information51 cited