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Wasserstein Distributionally Robust Optimization and Variation Regularization
16 references·3 citing·27 second hopsampled
Wasserstein Distributionally Robust Optimization and Variation Regularization (2022)Wasserstein Distributionally Robust Optim…Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning (2019)Wasserstein Distributionally …Quantifying Distributional Model Risk via Optimal Transport (2019)Quantifying Distributional Mo…Data-driven risk-averse stochastic optimization with Wasserstein metric (2018)Data-driven risk-averse stoch…Robust Sensitivity Analysis for Stochastic Systems (2016)Robust Sensitivity Analysis f…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…Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Robust Solutions of Optimizat…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…Robust Mean-Covariance Solutions for Stochastic Optimization (2007)Robust Mean-Covariance Soluti…On Distributionally Robust Chance-Constrained Linear Programs (2006)On Distributionally Robust Ch…Ambiguous chance constrained problems and robust optimization (2005)Ambiguous chance constrained …Minimax analysis of stochastic problems (2002)Minimax analysis of stochasti…Residuals-based distributionally robust optimization with covariate information (2023)Residuals-based distributiona…Optimal Robust Policy for Feature-Based Newsvendor (2023)Optimal Robust Policy for Fea…Globalized Distributionally Robust Counterpart (2023)Globalized Distributionally R…Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Robust Optimization (2009)A practical guide to robust optimization (2015)Data-driven robust optimization (2017)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Stochastic Programming (1995)Robust solutions of uncertain linear programs (1999)Frameworks and Results in Distributionally Robust Optimization (2022)Studies in Mathematical Theory of Inventory and Production (1959)Robust Convex Optimization (1998)Optimization of conditional value-at-risk (2000)Recent advances in robust optimization: An overview (2013)Introduction to Stochastic Programming (2011)Modelling Extremal Events (1997)The Price of Robustness (2004)On distributionally robust chance constrained programs with Wasserstein distance (2019)Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach (2021)Technical Note—Data-Driven Chance Constrained Programs over Wasserstein Balls (2022)The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)Distributionally Robust Optimization: A review on theory and applications (2021)Finite-Sample Guarantees for Wasserstein Distributionally Robust Optimization: Breaking the Curse of Dimensionality (2022)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls (2018)From Data to Decisions: Distributionally Robust Optimization Is Optimal (2020)Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming (2019)
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References

  • 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
  • 2014Distributionally Robust Convex Optimization952 cited
  • 2012Robust Solutions of Optimization Problems Affected by Uncertain Probabilities752 cited
  • 2010Distributionally Robust Optimization and Its Tractable Approximations668 cited
  • 2006On Distributionally Robust Chance-Constrained Linear Programs509 cited
  • 2015Data-driven chance constrained stochastic program488 cited
  • 2019Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning364 cited
  • 2019Quantifying Distributional Model Risk via Optimal Transport352 cited
  • 2018Data-driven risk-averse stochastic optimization with Wasserstein metric325 cited
  • 2005Ambiguous chance constrained problems and robust optimization303 cited
  • 2002Minimax analysis of stochastic problems244 cited
  • 2007Robust Mean-Covariance Solutions for Stochastic Optimization235 cited
  • 2015Data-Driven Stochastic Programming Using Phi-Divergences186 cited
  • 2015

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Likelihood robust optimization for data-driven problems
176 cited
  • 2016Robust Sensitivity Analysis for Stochastic Systems126 cited
  • Cited by

    • 2023Residuals-based distributionally robust optimization with covariate information51 cited
    • 2023Optimal Robust Policy for Feature-Based Newsvendor41 cited
    • 2023Globalized Distributionally Robust Counterpart34 cited