Variational Theory for Optimization under Stochastic Ambiguity-Reference-Cited by-同舟云学术

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Variational Theory for Optimization under Stochastic Ambiguity

Published:2017-01 Issue:2 Volume:27 Page:1118-1149
ISSN:1052-6234
Container-title:SIAM Journal on Optimization
language:en
Short-container-title:SIAM J. Optim.

Author:

Royset Johannes O.,Wets Roger J.-B.

Funder

Defense Advanced Research Projects Agency

Army Research Laboratory

Army Research Office

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Theoretical Computer Science,Software

Link

https://epubs.siam.org/doi/pdf/10.1137/16M1060704

Reference31 articles.

1. Coherent Measures of Risk

2. Theory and Applications of Robust Optimization

3. Ambiguous Risk Measures and Optimal Robust Portfolios

4. Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

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