Residuals-based distributionally robust optimization with covariate information

2023/09/26 by Rohit Kannan, Güzin Bayraksan, Güzi̇n Bayraksan +2 · 3 citations
Decision Sciences · Mathematics · #Risk and Portfolio Optimization #Probabilistic and Robust Engineering Design #Fuzzy Systems and Optimization

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

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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