Convergence Analysis on Data-Driven Fortet-Mourier Metrics with Applications in Stochastic Optimization
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- Svetlozar T. Rachev & Werner Römisch, 2002. "Quantitative Stability in Stochastic Programming: The Method of Probability Metrics," Mathematics of Operations Research, INFORMS, vol. 27(4), pages 792-818, November.
- Erick Delage & Yinyu Ye, 2010. "Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems," Operations Research, INFORMS, vol. 58(3), pages 595-612, June.
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Keywords
Fortet-Mourier metric; discrete approximation; stochastic optimization; stochastic dominance; distributionally robust;All these keywords.
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