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Robust Data-Driven CARA Optimization
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Introduction to Stochastic Programming
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Adjustable robust solutions of uncertain linear programs
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Primal and dual linear decision rules in stochastic and robust optimization
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Deriving robust counterparts of nonlinear uncertain inequalities
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Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
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On distributionally robust chance constrained programs with Wasserstein distance
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Distributionally robust stochastic programs with side information based on trimmings
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Chance-constrained set covering with Wasserstein ambiguity
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Robust convex optimization: A new perspective that unifies and extends
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The equity premium: A puzzle
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Robust linear optimization under general norms
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Data-driven risk-averse stochastic optimization with Wasserstein metric
inferredcites →https://doi.org/10.1016/j.orl.2020.06.003openalex-snapshot
Tractable reformulations of two-stage distributionally robust linear programs over the type- ∞ Wasserstein ball
inferredcites →https://doi.org/10.1057/jors.1995.45openalex-snapshot
Characteristics of Decisions in Decision Analysis Practice
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Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
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Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
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A Variable-Complexity Norm Maximization Problem
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Distributionally Robust Two-Stage Stochastic Programming
inferredcites →https://doi.org/10.1287/deca.1080.0105openalex-snapshot
Interpretation of the Risk Tolerance Coefficient in Terms of Maximum Acceptable Loss
inferredcites →https://doi.org/10.1287/educ.2019.0198openalex-snapshot
Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning
inferredcites →https://doi.org/10.1287/ijoc.2016.0689openalex-snapshot
Duality in Two-Stage Adaptive Linear Optimization: Faster Computation and Stronger Bounds
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RSOME in Python: An Open-Source Package for Robust Stochastic Optimization Made Easy
inferredcites →https://doi.org/10.1287/mnsc.1050.0451openalex-snapshot
The Optimizer’s Curse: Skepticism and Postdecision Surprise in Decision Analysis
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Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
inferredcites →https://doi.org/10.1287/mnsc.18.7.356openalex-snapshot
Risk-Sensitive Markov Decision Processes
inferredcites →https://doi.org/10.1287/mnsc.2017.2952openalex-snapshot
Adaptive Distributionally Robust Optimization
inferredcites →https://doi.org/10.1287/mnsc.2020.3603openalex-snapshot
Robust Stochastic Optimization Made Easy with RSOME
inferredcites →https://doi.org/10.1287/mnsc.2020.3678openalex-snapshot
From Data to Decisions: Distributionally Robust Optimization Is Optimal
inferredcites →https://doi.org/10.1287/mnsc.2020.3903openalex-snapshot
Distributionally Robust Conditional Quantile Prediction with Fixed Design
inferredcites →https://doi.org/10.1287/mnsc.2022.4352openalex-snapshot
A Data-Driven Approach to Multistage Stochastic Linear Optimization
inferredcites →https://doi.org/10.1287/moor.1100.0444openalex-snapshot
Optimality of Affine Policies in Multistage Robust Optimization
inferredcites →https://doi.org/10.1287/moor.1100.0445openalex-snapshot
Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
inferredcites →https://doi.org/10.1287/moor.2022.1275openalex-snapshot
Distributionally Robust Stochastic Optimization with Wasserstein Distance
inferredcites →https://doi.org/10.1287/opre.1080.0561openalex-snapshot
Technical Note—A Risk-Sensitive Model for Managing Perishable Products
inferredcites →https://doi.org/10.1287/opre.1090.0741openalex-snapshot
Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
inferredcites →https://doi.org/10.1287/opre.2014.1314openalex-snapshot
Distributionally Robust Convex Optimization
inferredcites →https://doi.org/10.1287/opre.2015.1382openalex-snapshot
Managing Underperformance Risk in Project Portfolio Selection
inferredcites →https://doi.org/10.1287/opre.2017.1698openalex-snapshot
Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls
inferredcites →https://doi.org/10.1287/opre.2018.1729openalex-snapshot
Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
inferredcites →https://doi.org/10.1287/opre.2020.2076openalex-snapshot
Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
inferredcites →https://doi.org/10.1287/opre.2021.2159openalex-snapshot
Adjustable Robust Optimization Reformulations of Two-Stage Worst-Case Regret Minimization Problems
inferredcites →https://doi.org/10.1287/opre.2021.2243openalex-snapshot
Distributionally Robust Linear and Discrete Optimization with Marginals
inferredcites →https://doi.org/10.1287/opre.2022.2289openalex-snapshot
Technical Note—Dual Approach for Two-Stage Robust Nonlinear Optimization
inferredcites →https://doi.org/10.1287/opre.2023.0135openalex-snapshot
A Short and General Duality Proof for Wasserstein Distributionally Robust Optimization
inferredcites →https://doi.org/10.1287/opre.40.3.603openalex-snapshot
Inventory Control with an Exponential Utility Criterion
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-snapshot
Optimization of conditional value-at-risk
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Risk Aversion in the Small and in the Large
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inferred← citeshttps://doi.org/10.1287/opre.2024.1376openalex-snapshot
Conformal Inverse Optimization for Adherence-Aware Prescriptive Analytics
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