Distributionally Robust Stochastic Programming
نویسنده
چکیده
Abstract. In this paper we study distributionally robust stochastic programming in a setting 7 where there is a specified reference probability measure and the uncertainty set of probability mea8 sures consists of measures in some sense close to the reference measure. We discuss law invariance of 9 the associated worst case functional and consider two basic constructions of such uncertainty sets. 10 Finally we illustrate some implications of the property of law invariance. 11
منابع مشابه
Distributionally Robust Stochastic Programming
Abstract. In this paper we study distributionally robust stochastic programming in a setting 7 where there is a specified reference probability measure and the uncertainty set of probability mea8 sures consists of measures in some sense close to the reference measure. We discuss law invariance of 9 the associated worst case functional and consider two basic constructions of such uncertainty set...
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ورودعنوان ژورنال:
- SIAM Journal on Optimization
دوره 27 شماره
صفحات -
تاریخ انتشار 2017