Data-Driven Distributionally Robust Risk-Averse Two-Stage Stochastic Linear Programming over Wasserstein Ball
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
Link
https://link.springer.com/content/pdf/10.1007/s10957-023-02331-z.pdf
Reference39 articles.
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3. Ben-Tal, A., Nemirovski, A.: Robust optimization-methodology and applications. Math. Program. 92(3), 453–480 (2002)
4. Ben-Tal, A., Teboulle, M.: Expected utility, penalty functions, and duality in stochastic nonlinear programming. Manage. Sci. 32(11), 1445–1466 (1986)
5. Bertsimas, D., Doan, X.V., Natarajan, K., Teo, C.P.: Models for minimax stochastic linear optimization problems with risk aversion. Math. Oper. Res. 35(3), 580–602 (2010)
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