Data-driven distributionally robust chance-constrained optimization with Wasserstein metric

Ran Ji; Miguel A. Lejeune

doi:10.1007/s10898-020-00966-0

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Data-driven distributionally robust chance-constrained optimization with Wasserstein metric

Ran Ji Miguel A. Lejeune

Year: 2020 Journal: Journal of Global Optimization Vol: 79 (4)Pages: 779-811 Publisher: Springer Science+Business Media

DOI: 10.1007/s10898-020-00966-0

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Keywords:

Mathematics Robust optimization Mathematical optimization Linear programming Knapsack problem Integer programming Bounded function Optimization problem Semidefinite programming

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Risk and Portfolio Optimization

Social Sciences → Decision Sciences → Management Science and Operations Research

Probabilistic and Robust Engineering Design

Social Sciences → Decision Sciences → Statistics, Probability and Uncertainty

Energy, Environment, and Transportation Policies

Physical Sciences → Energy → Renewable Energy, Sustainability and the Environment

Data-driven distributionally robust chance-constrained optimization with Wasserstein metric

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