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Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
16 references·2 citing·24 second hop
Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics (2021)Distributionally Robust Optimization Unde…Data-driven risk-averse stochastic optimization with Wasserstein metric (2018)Data-driven risk-averse stoch…Likelihood robust optimization for data-driven problems (2015)Likelihood robust optimizatio…Data-Driven Stochastic Programming Using Phi-Divergences (2015)Data-Driven Stochastic Progra…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…The 1/N investment strategy is optimal under high model ambiguity (2011)The 1/N investment strategy i…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…Ambiguity in portfolio selection (2007)Ambiguity in portfolio select…A Class of stochastic programs with decision dependent uncertainty (2006)A Class of stochastic program…Ambiguous chance constrained problems and robust optimization (2005)Ambiguous chance constrained …Convex measures of risk and trading constraints (2002)Convex measures of risk and t…On law invariant coherent risk measures (2001)On law invariant coherent ris…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskTruck-drone supported humanitarian relief logistics network design: A two-stage distributionally robust optimization approach (2025)Truck-drone supported humanit…A Distributionally Robust Optimization for Reliability-Based Lane Reservation and Route Design Under Uncertainty (2023)A Distributionally Robust Opt…Coherent Risk Measures on General Probability Spaces (2002)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)Studies in Mathematical Theory of Inventory and Production (1959)Robust Convex Optimization (1998)Recent advances in robust optimization: An overview (2013)Introduction to Stochastic Programming (2011)A practical guide to robust optimization (2015)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Maxmin expected utility with non-unique prior (1989)Data-driven robust optimization (2017)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)The Price of Robustness (2004)Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls (2018)From Data to Decisions: Distributionally Robust Optimization Is Optimal (2020)Technical Note—Data-Driven Chance Constrained Programs over Wasserstein Balls (2022)Robust Optimization (2009)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Putting order in risk measures (2002)Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming (2019)Quantifying Distributional Model Risk via Optimal Transport (2019)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 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
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2014Distributionally Robust Convex Optimization952 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2010Distributionally Robust Optimization and Its Tractable Approximations668 cited
  • 2015Data-driven chance constrained stochastic program488 cited
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  • 2005Ambiguous chance constrained problems and robust optimization303 cited
  • 2007Ambiguity in portfolio selection261 cited
  • 2006A Class of stochastic programs with decision dependent uncertainty249 cited
  • 2011The 1/N investment strategy is optimal under high model ambiguity221 cited
  • 2015Data-Driven Stochastic Programming Using Phi-Divergences186 cited

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  • 2015Likelihood robust optimization for data-driven problems176 cited
  • Cited by

    • 2025Truck-drone supported humanitarian relief logistics network design: A two-stage distributionally robust optimization approach35 cited
    • 2023A Distributionally Robust Optimization for Reliability-Based Lane Reservation and Route Design Under Uncertainty7 cited