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Model calibration via distributionally robust optimization: On the NASA Langley Uncertainty Quantification Challenge
16 references·1 citing·37 second hop
Model calibration via distributionally robust optimization: On the NASA Langley Uncertainty Quantification Challenge (2021)Model calibration via distributionally ro…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 …Distributionally Robust Convex Optimization (2014)Distributionally Robust Conve…Verification and validation of simulation models (2012)Verification and validation o…Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Robust Solutions of Optimizat…Theory and Applications of Robust Optimization (2010)Theory and Applications of Ro…Distributionally 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…Stochastic Simulation (2007)Stochastic SimulationSimulation and the Monte Carlo Method (2007)Simulation and the Monte Carl…A Framework for Validation of Computer Models (2007)A Framework for Validation of…Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …Stochastic Approximation and Recursive Algorithms and Applications (2003)Stochastic Approximation and …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Robust optimization ? methodology and applications (2002)Robust optimization ? methodo…Verification and validation of simulation models (1995)Verification and validation o…Synthetic Validation of Responses to the NASA Langley Challenge on Optimization under Uncertainty (2021)Synthetic Validation of Respo…Robust Convex Optimization (1998)Optimization of conditional value-at-risk (2000)Theory and Applications of Robust Optimization (2011)Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations (2017)Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust Solutions of Uncertain Quadratic and Conic-Quadratic Problems (2002)Convex Approximations of Chance Constrained Programs (2006)Facility location under uncertainty: a review (2006)Robust optimization – A comprehensive survey (2007)Maxmin expected utility with non-unique prior (1989)Introduction to Stochastic Programming (2011)Recent advances in robust optimization: An overview (2013)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Coherent Measures of Risk (1999)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Simulation Modeling and Analysis. (1983)Discrete-Event System Simulation (1984)Supply network topology and robustness against disruptions – an investigation using multi-agent model (2010)Simulation: The Practice of Model Development and Use (2014)Crowdsourcing Last Mile Delivery: Strategic Implications and Future Research Directions (2017)System dynamics modeling for sustainable supply chain management: A literature review and systems thinking approach (2018)The Price of Robustness (2004)Robust Optimization (2009)Data-driven robust optimization (2017)Frameworks and Results in Distributionally Robust Optimization (2022)Proceedings of the 2002 Winter Simulation Conference (2002)Computational methods in optimization considering uncertainties – An overview (2008)Non-Stationary Stochastic Optimization (2013)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Econometric Tools for Analyzing Market Outcomes (2007)Metamodel-based importance sampling for structural reliability analysis (2013)Common Beliefs and Reality About PLS (2014)A Guide to Sample Average Approximation (2014)A unified framework for stochastic optimization (2018)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2010Theory and Applications of Robust Optimization2,515 cited
  • 2007Simulation and the Monte Carlo Method2,487 cited
  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2003Stochastic Approximation and Recursive Algorithms and Applications1,896 cited
  • 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations1,869 cited
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663 cited
  • 2007A Framework for Validation of Computer Models656 cited
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    • 2021Synthetic Validation of Responses to the NASA Langley Challenge on Optimization under Uncertainty5 cited