Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models

Author:

Luo Fengqiao,Mehrotra SanjayORCID

Funder

NSF

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference67 articles.

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2. A global optimization method, αBB, for general twice-differentiable NLPs-II. implementation and computational results;Adjiman;Computers Chemical Engineering,1998

3. Bansal, M., Huang, K., & Mehrotra, S. (2017). Decomposition algorithms for two-stage distributionally robust mixed binary programs. http://www.optimization-online.org/DB_FILE/2017/02/5849.pdf.

4. Central limit theorems for the Wasserstein distance between the empirical and the true distributions;Barrio;The Annals of Probability,1999

5. Robust solutions of optimization problems affected by uncertain probabilities;Ben-Tal;Management Science,2013

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