Residuals-based distributionally robust optimization with covariate information

2023/09/26 by Rohit Kannan, Güzin Bayraksan, Güzi̇n Bayraksan +2 · 44 citations
Decision Sciences · Mathematics · #Ambiguity #Computer science #Covariate #Divergence (linguistics) #Econometrics #Fuzzy Systems and Optimization #Mathematical optimization #Mathematics #Probabilistic and Robust Engineering Design #Risk and Portfolio Optimization #Robust optimization #Sizing

paper · open access · doi:10.1007/s10107-023-02014-7

published in Mathematical Programming 207(1-2), 369-425 (Springer Science+Business Media)

openalex publication_date 2023/09/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/04

Citations

• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Distributionally robust stochastic programs with side information based on trimmings

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