Quantitative stability analysis for minimax distributionally robust risk optimization
نویسندگان
چکیده
منابع مشابه
Quantitative Stability Analysis for Minimax Distributionally Robust Risk Optimization
This paper considers distributionally robust formulations of a two stage stochastic programming problem with the objective of minimizing a distortion risk of the minimal cost incurred at the second stage. We carry out stability analysis by looking into variations of the ambiguity set under the Wasserstein metric, decision spaces at both stages and the support set of the random variables. In the...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2018
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-018-1347-4