Results 21 to 30 of about 6,180 (210)
Cardinality-constrained distributionally robust portfolio optimization
European Journal of Operational Research, 2023 This paper studies a distributionally robust portfolio optimization model with a cardinality constraint for limiting the number of invested assets. We formulate this model as a mixed-integer semidefinite optimization (MISDO) problem by means of the moment-based ambiguity set of probability distributions of asset returns.
Ken Kobayashi +2 more
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A distributionally robust perspective on uncertainty quantification and chance constrained programming [PDF]
, 2015 The objective of uncertainty quantification is to certify that a given physical, engineering or economic system satisfies multiple safety conditions with high probability.
Hanasusanto, GA +3 more
core +1 more source
Robust Grouped Variable Selection Using Distributionally Robust Optimization
Journal of Optimization Theory and Applications, 2022 We propose a Distributionally Robust Optimization (DRO) formulation with a Wasserstein-based uncertainty set for selecting grouped variables under perturbations on the data for both linear regression and classification problems. The resulting model offers robustness explanations for Grouped Least Absolute Shrinkage and Selection Operator (GLASSO ...
Ruidi Chen, Ioannis Ch. Paschalidis
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Mathematical Foundations of Distributionally Robust Multistage Optimization [PDF]
SIAM Journal on Optimization, 2021 Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, risk functionals constitute a fundamental building block in distributionally robust stochastic programming.
Alois Pichler, Alexander Shapiro
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On distributionally robust multiperiod stochastic optimization [PDF]
Computational Management Science, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Analui, B., Pflug, G.C.
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The Distributionally Robust Optimization Reformulation for Stochastic Complementarity Problems
Abstract and Applied Analysis, 2014 We investigate the stochastic linear complementarity problem affinely affected by the uncertain parameters. Assuming that we have only limited information about the uncertain parameters, such as the first two moments or the first two moments as well as ...
Liyan Xu, Bo Yu, Wei Liu
doaj +1 more source
Distributionally Robust Distributed Generation Hosting Capacity Assessment in Distribution Systems
Energies, 2018 Uncertainties associated with the loads and the output power of distributed generations create challenges in quantifying the integration limits of distributed generations in distribution networks, i.e., hosting capacity.
Mohammad Seydali Seyf Abad +3 more
doaj +1 more source
Energy Reports, 2023 To avoid the problem of insufficient flexibility of the power grid along the cz railway due to source-load fluctuations, a distributionally robust optimization method considering flexibility is proposed in this paper.
Jiawei Liu +5 more
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Relief Network Design Problem: A Distributionally Robust Optimization Approach [PDF]
چشمانداز مدیریت صنعتی, 2021 In this study, a robust two-stage risk-aversion optimization model is proposed for the multi-product relief network design problem. The comprehensive set of decisions for locating and reinforcing relief facilities, inventory planning, and distributing ...
Aliakbar Hasani
doaj +1 more source
Sensors, 2023 As an emerging network paradigm, the space–air–ground integrated network (SAGIN) has garnered attention from academia and industry. That is because SAGIN can implement seamless global coverage and connections among electronic devices in space, air, and ...
Zhiyuan Li, Pinrun Chen
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