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Distributionally Robust Optimization under Distorted Expectations
SSRN Electronic Journal, 2020Optimal Decision Making Under Distorted Expectation with Partial Distribution Information Decision makers who are not risk neutral may evaluate expected values by distorting objective probabilities to reflect their risk attitudes, a phenomenon known as distorted expectations. This concept is widely applied in behavioral economics, insurance, finance,
Jun Cai +2 more
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Distributionally Robust Optimization
2021The robust optimization methodology that we have introduced so far is built on a fundamental modeling approach, that is based on set-theoretic, deterministic uncertainty models.
Xu Andy Sun, Antonio J. Conejo
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Distributionally Robust Chance Constrained Geometric Optimization
Mathematics of Operations Research, 2022This paper discusses distributionally robust geometric programs with individual or joint chance constraints. Several groups of uncertainty sets are considered: uncertainty sets with first two order moments information; uncertainty sets with known first order or first two order moments information under nonnegative support; uncertainty sets constrained
Jia Liu, Abdel Lisser, Zhiping Chen
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Adaptive Distributionally Robust Optimization
Management Science, 2019We develop a modular and tractable framework for solving an adaptive distributionally robust linear optimization problem, where we minimize the worst-case expected cost over an ambiguity set of probability distributions. The adaptive distributionally robust optimization framework caters for dynamic decision making, where decisions adapt to the ...
Dimitris Bertsimas +2 more
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Integrated Distributionally Robust Simulation-Optimization
2024 IEEE International Conference on Service Operations and Logistics, and Informatics (SOLI)Pengxiang Zhou +2 more
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