Robust Optimization
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【PA】Distributionally Robust Optimization Under Moment Uncertainty (Delage & Ye)
DRO原创 2021-05-08 16:19:02 · 479 阅读 · 0 评论 -
Sample-based robust optimization
sample-based RO原创 2021-02-23 15:31:12 · 216 阅读 · 0 评论 -
Data Driven Optimization Models and Algorithms
DRO原创 2021-02-17 09:12:54 · 304 阅读 · 0 评论 -
【CLP】Gaussian Projection Reduction & Randomized Binary Reduction
Gaussian Projection Reduction & Randomized Binary Reduction原创 2021-01-05 13:11:20 · 194 阅读 · 0 评论 -
【CLP】Complementarity and Solution Rank of SDP: Null-Space Rank Reduction
Null-Space Rank Reduction原创 2021-01-04 14:40:56 · 169 阅读 · 0 评论 -
【CLP】Conic Linear Programming Duality
CLP duality原创 2021-01-03 16:39:00 · 463 阅读 · 0 评论 -
【CLP】Conic Programming
CLP原创 2021-01-02 21:47:37 · 215 阅读 · 0 评论 -
【ALGO】Interior Point Methods
Interior Point Method原创 2021-01-02 09:53:58 · 223 阅读 · 2 评论 -
【RO】Robust Counterparts
RC原创 2021-01-01 17:07:39 · 814 阅读 · 0 评论 -
【RO】SOCP & SDP
RO: SOCP & SDP原创 2020-12-31 20:08:42 · 670 阅读 · 0 评论 -
【RO】Factor dependency of robust portfolios
Factor dependency of robust portfolios原创 2020-12-31 15:31:49 · 128 阅读 · 0 评论 -
【RO】Robust formulation controls higher moments
Robust formulation & higher moments原创 2020-12-29 14:54:22 · 208 阅读 · 0 评论 -
【RO】Ellipsoidal uncertainty
Robust optimization: ellipsoidal uncertainty原创 2020-12-28 16:07:41 · 263 阅读 · 0 评论 -
【RO】Box uncertainty
Robust optimization : Box Uncertainty原创 2020-12-27 20:07:30 · 381 阅读 · 0 评论 -
【AP_OR letters】Robust solutions of uncertain linear programs
robust LP原创 2020-12-14 19:33:03 · 212 阅读 · 0 评论 -
【AP_AOR】Review of Robust Optimization
鲁棒优化综述：选自 Fabozzi的论文原创 2020-12-10 16:17:56 · 262 阅读 · 0 评论 -
【AP_MP】Robust solutions of Linear Programming problems contaminated with uncertain data
MP论文：Robust solutions of Linear Programming problems contaminated with uncertain data(1)原创 2020-12-08 17:25:43 · 344 阅读 · 0 评论 -
【FinE】Worst case risk analysis
worst case risk analysis原创 2020-12-07 21:40:05 · 272 阅读 · 0 评论 -
【AP_EJOR】Robust solutions to multi-objective linear programs with uncertain data(2)
论文解析：Robust solutions to multi-objective linear programs with uncertain data原创 2020-12-07 15:26:09 · 152 阅读 · 0 评论 -
【AP_EJOR】Robust solutions to multi-objective linear programs with uncertain data(1)
论文解析：Robust solutions to multi-objective linear programs with undertain data原创 2020-12-07 09:04:52 · 175 阅读 · 0 评论 -
【OR】Robust version of MAD
robust MAD原创 2020-12-06 17:35:40 · 186 阅读 · 0 评论 -
【AP_EJOR】Robust multiobjective optimization & applications in portfolio optimization(2)
论文解析系列: Robust multiobjective optimization & applications in portfolio optimization原创 2020-12-05 14:42:49 · 170 阅读 · 0 评论 -
【AP_EJOR】Robust multiobjective optimization & applications in portfolio optimization(1)
论文解读系列：Robust multiobjective optimization & applications in portfolio optimization原创 2020-12-05 12:20:21 · 234 阅读 · 0 评论 -
【AP_EJOR】Robust multiobjective portfolio optimization: A minimax regret approach
论文解析：Robust multiobjective portfolio optimization: A minimax regret approach原创 2020-12-03 22:31:13 · 286 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(4)
论文解析系列:Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(3)原创 2020-11-24 11:28:17 · 150 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(3)
论文解读系列: Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(2)原创 2020-11-23 15:00:32 · 258 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(2)
论文解读系列：Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(2)原创 2020-11-23 10:32:13 · 142 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(1)
论文解析系列：robust VaR and CVaR原创 2020-11-22 16:46:25 · 360 阅读 · 0 评论 -
【AP】On robust mean variance portfolios(5)
论文解析系列：On robust mean variance portfolios(5)原创 2020-11-21 18:38:02 · 132 阅读 · 0 评论 -
【AP】On robust mean variance portfolios(4)
论文解析系列：On robust mean variance portfolios(4)原创 2020-11-21 15:44:28 · 132 阅读 · 0 评论 -
【AP】On robust mean variance portfolios(3)
论文解读系列：On robust mean variance portfolios(3)原创 2020-11-21 13:20:10 · 205 阅读 · 0 评论 -
【AP】On robust mean variance portfolios(2)
论文解读系列：On robust mean variance portfolios(2)原创 2020-11-20 19:19:00 · 218 阅读 · 0 评论 -
【AP】On robust mean variance portfolios(1)
论文解读系列：On robust mean variance portfolios(1)原创 2020-11-20 13:50:07 · 285 阅读 · 0 评论 -
【OR】YALMIP uncertain
YALMIP uncertain原创 2020-11-19 20:41:33 · 977 阅读 · 0 评论 -
【OR】S Lemma
S Lemma原创 2020-11-19 19:30:56 · 470 阅读 · 0 评论 -
【OR】Robust Optimization(8): Probability and tail bounds
Robust Optimization part VI原创 2020-11-19 17:13:26 · 491 阅读 · 0 评论 -
【OR】Robust Optimization(7): Analytic approximation using moment generating functions
robust optimization part V原创 2020-11-19 13:27:57 · 157 阅读 · 0 评论 -
【OR】Robust Optimization(6): CVaR
robust optimization part IV原创 2020-11-18 20:31:12 · 405 阅读 · 0 评论 -
【OR】Robust Optimization(5): Chance constraints and choice of uncertainty sets
robust optimization part III原创 2020-11-18 15:33:53 · 352 阅读 · 0 评论 -
【OR】Robust Optimization(4)
robust optimization part II原创 2020-11-18 08:57:47 · 160 阅读 · 0 评论