Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization
暂无分享,去创建一个
[1] Herbert E. Scarf,et al. A Min-Max Solution of an Inventory Problem , 1957 .
[2] J. Rousseau,et al. BERNSTEIN-VON MISES THEOREM FOR LINEAR FUNCTIONALS OF THE DENSITY , 2009, 0908.4167.
[3] E B LimAndrew,et al. Conditional value-at-risk in portfolio optimization , 2011 .
[4] Vishal Gupta,et al. Data-driven robust optimization , 2013, Math. Program..
[5] Raman Uppal,et al. Improving Performance By Constraining Portfolio Norms: A Generalized Approach to Portfolio Optimization , 2007 .
[6] Vishal Gupta,et al. Robust sample average approximation , 2014, Math. Program..
[7] Christopher S. Tang,et al. The Value of Information Sharing in a Two-Level Supply Chain , 2000 .
[8] Stephen C. Graves,et al. A Single-Item Inventory Model for a Nonstationary Demand Process , 1999, Manuf. Serv. Oper. Manag..
[9] Shie Mannor,et al. A distributional interpretation of robust optimization , 2010, 2010 48th Annual Allerton Conference on Communication, Control, and Computing (Allerton).
[10] R. Nickl,et al. On the Bernstein–von Mises phenomenon for nonparametric Bayes procedures , 2013, 1310.2484.
[11] R. Wets,et al. Stochastic programming , 1989 .
[12] P. Deb. Finite Mixture Models , 2008 .
[13] John K Kruschke,et al. Bayesian data analysis. , 2010, Wiley interdisciplinary reviews. Cognitive science.
[14] R. Nickl,et al. Nonparametric Bernstein–von Mises theorems in Gaussian white noise , 2012, 1208.3862.
[15] Peng Sun,et al. A Robust Optimization Perspective on Stochastic Programming , 2007, Oper. Res..
[16] Henry Lam,et al. Robust Sensitivity Analysis for Stochastic Systems , 2013, Math. Oper. Res..
[17] D. Freedman. On the Bernstein-von Mises Theorem with Infinite Dimensional Parameters , 1999 .
[18] Andrew E. B. Lim,et al. Relative Entropy, Exponential Utility, and Robust Dynamic Pricing , 2007, Oper. Res..
[19] Eric R. Ziegel,et al. The Elements of Statistical Learning , 2003, Technometrics.
[20] P. Bickel,et al. The semiparametric Bernstein-von Mises theorem , 2010, 1007.0179.
[21] Richard O. Michaud. The Markowitz Optimization Enigma: Is 'Optimized' Optimal? , 1989 .
[22] Jean-Philippe Vial,et al. Deriving robust counterparts of nonlinear uncertain inequalities , 2012, Math. Program..
[23] Masao Fukushima,et al. Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management , 2009, Oper. Res..
[24] Napat Rujeerapaiboon,et al. Robust Growth-Optimal Portfolios , 2016, Manag. Sci..
[25] Alexander Shapiro,et al. Convex Approximations of Chance Constrained Programs , 2006, SIAM J. Optim..
[26] D. Freedman,et al. On the consistency of Bayes estimates , 1986 .
[27] A. V. D. Vaart,et al. Convergence rates of posterior distributions , 2000 .
[28] Gábor Rudolf,et al. Kusuoka representations of coherent risk measures in general probability spaces , 2015, Ann. Oper. Res..
[29] YeYinyu,et al. Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems , 2010 .
[30] Andrew E. B. Lim,et al. Conditional value-at-risk in portfolio optimization: Coherent but fragile , 2011, Oper. Res. Lett..
[31] R. Phillips,et al. Pricing and Revenue Optimization , 2005 .
[32] Shie Mannor,et al. Robustness and Regularization of Support Vector Machines , 2008, J. Mach. Learn. Res..
[33] Glen D Meeden,et al. Asymptotics for Constrained Dirichlet Distributions , 2013 .
[34] Victor DeMiguel,et al. Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? , 2009 .
[35] Duan Li,et al. Portfolio management with robustness in both prediction and decision: A mixture model based learning approach , 2014 .
[36] Shie Mannor,et al. Robustness and generalization , 2010, Machine Learning.
[37] Albert Y. Lo,et al. Weak convergence for Dirichlet processes , 1983 .
[38] Apostolos G. Fertis,et al. A robust optimization approach to statistical estimation problems , 2009 .
[39] Xuan Wang,et al. Process Flexibility: A Distribution-Free Bound on the Performance of k-Chain , 2015, Oper. Res..
[40] Bertrand Melenberg,et al. Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures , 2014, SIAM Rev..
[41] Anja De Waegenaere,et al. Robust Solutions of Optimization Problems Affected by Uncertain Probabilities , 2011, Manag. Sci..
[42] Alexander Shapiro,et al. Lectures on Stochastic Programming: Modeling and Theory , 2009 .
[43] K. Schittkowski,et al. NONLINEAR PROGRAMMING , 2022 .
[44] Diego Klabjan,et al. Robust Stochastic Lot-Sizing by Means of Histograms , 2013 .
[45] Yinyu Ye,et al. Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems , 2010, Oper. Res..
[46] Moshe Ben-Akiva,et al. Discrete Choice Analysis: Theory and Application to Travel Demand , 1985 .
[47] A. Banerjee. Convex Analysis and Optimization , 2006 .
[48] Andrew E. B. Lim,et al. Robust Empirical Optimization is Almost the Same As Mean-Variance Optimization , 2015, Oper. Res. Lett..
[49] Huynh Trung Luong,et al. Measure of bullwhip effect in supply chains with autoregressive demand process , 2007, Eur. J. Oper. Res..
[50] Jean-Philippe Vial,et al. Robust Optimization , 2021, ICORES.
[51] Huseyin Topaloglu,et al. Robust Assortment Optimization in Revenue Management Under the Multinomial Logit Choice Model , 2012, Oper. Res..
[52] David Wozabal,et al. Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach , 2014, Oper. Res..
[53] Ioana Popescu,et al. On the Relation Between Option and Stock Prices: A Convex Optimization Approach , 2002, Oper. Res..
[54] Chan‐Fu Chen. On Asymptotic Normality of Limiting Density Functions with Bayesian Implications , 1985 .
[55] Garrett J. van Ryzin,et al. Revenue Management Under a General Discrete Choice Model of Consumer Behavior , 2004, Manag. Sci..
[56] Raman Uppal,et al. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms , 2009, Manag. Sci..
[57] Yongdai Kim,et al. A Bernstein–von Mises theorem in the nonparametric right-censoring model , 2004, math/0410083.
[58] Andrew E. B. Lim,et al. Performance-based regularization in mean-CVaR portfolio optimization , 2011, 1111.2091.
[59] P. A. Blight. The Analysis of Time Series: An Introduction , 1991 .
[60] Daniel Kuhn,et al. Distributionally Robust Convex Optimization , 2014, Oper. Res..
[61] Mark E. Ferguson,et al. PRODUCTION AND OPERATIONS MANAGEMENT , 2008 .
[62] Laurent El Ghaoui,et al. Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach , 2003, Oper. Res..
[63] S. Vaida,et al. Studies in the Mathematical Theory of Inventory and Production , 1958 .