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Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

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Cited by:

  1. Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
  2. Dimitris Bertsimas & Shimrit Shtern & Bradley Sturt, 2023. "A Data-Driven Approach to Multistage Stochastic Linear Optimization," Management Science, INFORMS, vol. 69(1), pages 51-74, January.
  3. Vishal Gupta, 2019. "Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(9), pages 4242-4260, September.
  4. Shipra Agrawal & Yichuan Ding & Amin Saberi & Yinyu Ye, 2012. "Price of Correlations in Stochastic Optimization," Operations Research, INFORMS, vol. 60(1), pages 150-162, February.
  5. Zhang, Guowei & Jia, Ning & Zhu, Ning & He, Long & Adulyasak, Yossiri, 2023. "Humanitarian transportation network design via two-stage distributionally robust optimization," Transportation Research Part B: Methodological, Elsevier, vol. 176(C).
  6. Wang, Changjun & Chen, Shutong, 2020. "A distributionally robust optimization for blood supply network considering disasters," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 134(C).
  7. Benjamin Armbruster & Erick Delage, 2015. "Decision Making Under Uncertainty When Preference Information Is Incomplete," Management Science, INFORMS, vol. 61(1), pages 111-128, January.
  8. Zhi Chen & Melvyn Sim & Huan Xu, 2019. "Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," Operations Research, INFORMS, vol. 67(5), pages 1328-1344, September.
  9. Haoyu Chen & Kun Fan, 2022. "Tail Value-at-Risk-Based Expectiles for Extreme Risks and Their Application in Distributionally Robust Portfolio Selections," Mathematics, MDPI, vol. 11(1), pages 1-16, December.
  10. Marcel-Ioan Boloș & Ioana-Alexandra Bradea & Camelia Delcea, 2021. "Optimization of Financial Asset Neutrosophic Portfolios," Mathematics, MDPI, vol. 9(11), pages 1-36, May.
  11. Shehadeh, Karmel S. & Padman, Rema, 2021. "A distributionally robust optimization approach for stochastic elective surgery scheduling with limited intensive care unit capacity," European Journal of Operational Research, Elsevier, vol. 290(3), pages 901-913.
  12. Lotfi, Somayyeh & Zeniosn, Stravros A., 2016. "Equivalence of Robust VaR and CVaR Optimization," Working Papers 16-03, University of Pennsylvania, Wharton School, Weiss Center.
  13. Corlu, Canan G. & Akcay, Alp & Xie, Wei, 2020. "Stochastic simulation under input uncertainty: A Review," Operations Research Perspectives, Elsevier, vol. 7(C).
  14. Ho-Yin Mak & Ying Rong & Jiawei Zhang, 2015. "Appointment Scheduling with Limited Distributional Information," Management Science, INFORMS, vol. 61(2), pages 316-334, February.
  15. Zhu, Zhicheng & Xiang, Yisha & Zhao, Ming & Shi, Yue, 2023. "Data-driven remanufacturing planning with parameter uncertainty," European Journal of Operational Research, Elsevier, vol. 309(1), pages 102-116.
  16. Halil .Ibrahim Bayrak & c{C}au{g}{i}l Koc{c}yiu{g}it & Daniel Kuhn & Mustafa c{C}elebi P{i}nar, 2022. "Distributionally Robust Optimal Allocation with Costly Verification," Papers 2211.15122, arXiv.org, revised Dec 2022.
  17. Sheng Liu & Long He & Zuo-Jun Max Shen, 2021. "On-Time Last-Mile Delivery: Order Assignment with Travel-Time Predictors," Management Science, INFORMS, vol. 67(7), pages 4095-4119, July.
  18. Shuaian Wang & Xuecheng Tian, 2023. "A Deficiency of the Predict-Then-Optimize Framework: Decreased Decision Quality with Increased Data Size," Mathematics, MDPI, vol. 11(15), pages 1-9, July.
  19. Guanglin Xu & Samuel Burer, 2018. "A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming," Computational Management Science, Springer, vol. 15(1), pages 111-134, January.
  20. David Wozabal, 2014. "Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach," Operations Research, INFORMS, vol. 62(6), pages 1302-1315, December.
  21. Fu, Chenyi & Zhu, Ning & Ma, Shoufeng & Liu, Ronghui, 2022. "A two-stage robust approach to integrated station location and rebalancing vehicle service design in bike-sharing systems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 915-938.
  22. Huan Xu & Constantine Caramanis & Shie Mannor, 2016. "Statistical Optimization in High Dimensions," Operations Research, INFORMS, vol. 64(4), pages 958-979, August.
  23. Dimitris Bertsimas & Xuan Vinh Doan & Karthik Natarajan & Chung-Piaw Teo, 2010. "Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 580-602, August.
  24. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014. "Recent Developments in Robust Portfolios with a Worst-Case Approach," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
  25. Wang, Zhuolin & You, Keyou & Song, Shiji & Zhang, Yuli, 2020. "Wasserstein distributionally robust shortest path problem," European Journal of Operational Research, Elsevier, vol. 284(1), pages 31-43.
  26. Yin, S. & Wang, J. & Li, Z. & Fang, X., 2021. "State-of-the-art short-term electricity market operation with solar generation: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 138(C).
  27. Xin Hai & Gregoire Loeper & Kihun Nam, 2023. "Data-driven Multiperiod Robust Mean-Variance Optimization," Papers 2306.16681, arXiv.org, revised Jul 2023.
  28. Huan Xu & Constantine Caramanis & Shie Mannor, 2012. "Optimization Under Probabilistic Envelope Constraints," Operations Research, INFORMS, vol. 60(3), pages 682-699, June.
  29. Zheng Cui & Jianpeng Ding & Daniel Zhuoyu Long & Lianmin Zhang, 2023. "Target‐based resource pooling problem," Production and Operations Management, Production and Operations Management Society, vol. 32(4), pages 1187-1204, April.
  30. Jian Hu & Sanjay Mehrotra, 2012. "Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations," Operations Research, INFORMS, vol. 60(4), pages 936-953, August.
  31. Deng, Menghua & Bian, Bomin & Zhou, Yanlin & Ding, Jianpeng, 2023. "Distributionally robust production and replenishment problem for hydrogen supply chains," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 179(C).
  32. Ang, James & Meng, Fanwen & Sun, Jie, 2014. "Two-stage stochastic linear programs with incomplete information on uncertainty," European Journal of Operational Research, Elsevier, vol. 233(1), pages 16-22.
  33. Ming Liu & Rongfan Liu & E Zhang & Chengbin Chu, 2022. "Eco-friendly container transshipment route scheduling problem with repacking operations," Journal of Combinatorial Optimization, Springer, vol. 43(5), pages 1010-1035, July.
  34. Zhiping Chen & He Hu & Jie Jiang, 2022. "Convergence Analysis on Data-Driven Fortet-Mourier Metrics with Applications in Stochastic Optimization," Sustainability, MDPI, vol. 14(8), pages 1-29, April.
  35. Chang, Zhiqi & Ding, Jian-Ya & Song, Shiji, 2019. "Distributionally robust scheduling on parallel machines under moment uncertainty," European Journal of Operational Research, Elsevier, vol. 272(3), pages 832-846.
  36. Bertsimas, Dimitris & McCord, Christopher & Sturt, Bradley, 2023. "Dynamic optimization with side information," European Journal of Operational Research, Elsevier, vol. 304(2), pages 634-651.
  37. Yang, Hongming & Liang, Rui & Yuan, Yuan & Chen, Bowen & Xiang, Sheng & Liu, Junpeng & Zhao, Huan & Ackom, Emmanuel, 2022. "Distributionally robust optimal dispatch in the power system with high penetration of wind power based on net load fluctuation data," Applied Energy, Elsevier, vol. 313(C).
  38. Tianqi Liu & Francisco Saldanha-da-Gama & Shuming Wang & Yuchen Mao, 2022. "Robust Stochastic Facility Location: Sensitivity Analysis and Exact Solution," INFORMS Journal on Computing, INFORMS, vol. 34(5), pages 2776-2803, September.
  39. Qiaoming Han & Donglei Du & Luis F. Zuluaga, 2014. "Technical Note---A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula," Operations Research, INFORMS, vol. 62(3), pages 535-542, June.
  40. Zhiping Chen & Shen Peng & Jia Liu, 2018. "Data-Driven Robust Chance Constrained Problems: A Mixture Model Approach," Journal of Optimization Theory and Applications, Springer, vol. 179(3), pages 1065-1085, December.
  41. Zhang, Yachao & Huang, Zhanghao & Zheng, Feng & Zhou, Rongyu & Le, Jian & An, Xueli, 2020. "Cooperative optimization scheduling of the electricity-gas coupled system considering wind power uncertainty via a decomposition-coordination framework," Energy, Elsevier, vol. 194(C).
  42. Ming Zhao & Nickolas Freeman & Kai Pan, 2023. "Robust Sourcing Under Multilevel Supply Risks: Analysis of Random Yield and Capacity," INFORMS Journal on Computing, INFORMS, vol. 35(1), pages 178-195, January.
  43. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
  44. Jun-ya Gotoh & Michael Jong Kim & Andrew E. B. Lim, 2020. "Worst-case sensitivity," Papers 2010.10794, arXiv.org.
  45. John Gunnar Carlsson & Erick Delage, 2013. "Robust Partitioning for Stochastic Multivehicle Routing," Operations Research, INFORMS, vol. 61(3), pages 727-744, June.
  46. Zhang, Hanxiao & Li, Yan-Fu, 2022. "Robust optimization on redundancy allocation problems in multi-state and continuous-state series–parallel systems," Reliability Engineering and System Safety, Elsevier, vol. 218(PA).
  47. Ahmadreza Marandi & Aharon Ben-Tal & Dick den Hertog & Bertrand Melenberg, 2022. "Extending the Scope of Robust Quadratic Optimization," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 211-226, January.
  48. Aharon Ben-Tal & Dick den Hertog & Anja De Waegenaere & Bertrand Melenberg & Gijs Rennen, 2013. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Management Science, INFORMS, vol. 59(2), pages 341-357, April.
  49. Martin Branda & Max Bucher & Michal Červinka & Alexandra Schwartz, 2018. "Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization," Computational Optimization and Applications, Springer, vol. 70(2), pages 503-530, June.
  50. Wei, Zhenbo & Wei, Pingan & Chen, Chiyao & Gao, Hongjun & Luo, Zihang & Xiang, Yue, 2023. "Two-stage stochastic decentralized low-carbon economic dispatch of integrated electricity-gas networks," Energy, Elsevier, vol. 282(C).
  51. Ariel Neufeld & Matthew Ng Cheng En & Ying Zhang, 2024. "Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems," Papers 2403.09532, arXiv.org.
  52. Yongzhen Li & Xueping Li & Jia Shu & Miao Song & Kaike Zhang, 2022. "A General Model and Efficient Algorithms for Reliable Facility Location Problem Under Uncertain Disruptions," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 407-426, January.
  53. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
  54. Skalyga, Mikhail & Amelin, Mikael & Wu, Qiuwei & Söder, Lennart, 2023. "Distributionally robust day-ahead combined heat and power plants scheduling with Wasserstein Metric," Energy, Elsevier, vol. 269(C).
  55. Aakil M. Caunhye & Douglas Alem, 2023. "Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(3), pages 759-806, September.
  56. Andrew J. Keith & Darryl K. Ahner, 2021. "A survey of decision making and optimization under uncertainty," Annals of Operations Research, Springer, vol. 300(2), pages 319-353, May.
  57. Aleksandrina Goeva & Henry Lam & Huajie Qian & Bo Zhang, 2019. "Optimization-Based Calibration of Simulation Input Models," Operations Research, INFORMS, vol. 67(5), pages 1362-1382, September.
  58. Mohseni, Shayan & Pishvaee, Mir Saman, 2023. "Energy trading and scheduling in networked microgrids using fuzzy bargaining game theory and distributionally robust optimization," Applied Energy, Elsevier, vol. 350(C).
  59. Vishal Gupta & Brian Rongqing Han & Song-Hee Kim & Hyung Paek, 2020. "Maximizing Intervention Effectiveness," Management Science, INFORMS, vol. 66(12), pages 5576-5598, December.
  60. Mohammad Fattahi, 2020. "A data-driven approach for supply chain network design under uncertainty with consideration of social concerns," Annals of Operations Research, Springer, vol. 288(1), pages 265-284, May.
  61. Hu, Jian & Bansal, Manish & Mehrotra, Sanjay, 2018. "Robust decision making using a general utility set," European Journal of Operational Research, Elsevier, vol. 269(2), pages 699-714.
  62. Silva, Marco & Pedroso, João Pedro & Viana, Ana, 2023. "Stochastic crowd shipping last-mile delivery with correlated marginals and probabilistic constraints," European Journal of Operational Research, Elsevier, vol. 307(1), pages 249-265.
  63. Bogumił Kamiński & Michał Jakubczyk & Przemysław Szufel, 2018. "A framework for sensitivity analysis of decision trees," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(1), pages 135-159, March.
  64. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
  65. Giorgio Costa & Roy H. Kwon, 2020. "Generalized risk parity portfolio optimization: an ADMM approach," Journal of Global Optimization, Springer, vol. 78(1), pages 207-238, September.
  66. Yu Wang & Yu Zhang & Minglong Zhou & Jiafu Tang, 2023. "Feature‐driven robust surgery scheduling," Production and Operations Management, Production and Operations Management Society, vol. 32(6), pages 1921-1938, June.
  67. Ariel Neufeld & Julian Sester, 2024. "Non-concave distributionally robust stochastic control in a discrete time finite horizon setting," Papers 2404.05230, arXiv.org.
  68. Mengshi Lu & Zuo‐Jun Max Shen, 2021. "A Review of Robust Operations Management under Model Uncertainty," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1927-1943, June.
  69. Marla, Lavanya & Rikun, Alexander & Stauffer, Gautier & Pratsini, Eleni, 2020. "Robust modeling and planning: Insights from three industrial applications," Operations Research Perspectives, Elsevier, vol. 7(C).
  70. Haodong Yu & Jie Sun & Yanjun Wang, 2021. "A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure," Computational Optimization and Applications, Springer, vol. 79(1), pages 67-99, May.
  71. Hua Sun & Ziyou Gao & W. Szeto & Jiancheng Long & Fangxia Zhao, 2014. "A Distributionally Robust Joint Chance Constrained Optimization Model for the Dynamic Network Design Problem under Demand Uncertainty," Networks and Spatial Economics, Springer, vol. 14(3), pages 409-433, December.
  72. Ran Ji & Miguel A. Lejeune, 2021. "Data-Driven Optimization of Reward-Risk Ratio Measures," INFORMS Journal on Computing, INFORMS, vol. 33(3), pages 1120-1137, July.
  73. Zhaowei Hao & Long He & Zhenyu Hu & Jun Jiang, 2020. "Robust Vehicle Pre‐Allocation with Uncertain Covariates," Production and Operations Management, Production and Operations Management Society, vol. 29(4), pages 955-972, April.
  74. Nilay Noyan & Gábor Rudolf & Miguel Lejeune, 2022. "Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics," INFORMS Journal on Computing, INFORMS, vol. 34(2), pages 729-751, March.
  75. Chrysanthos E. Gounaris & Wolfram Wiesemann & Christodoulos A. Floudas, 2013. "The Robust Capacitated Vehicle Routing Problem Under Demand Uncertainty," Operations Research, INFORMS, vol. 61(3), pages 677-693, June.
  76. Karthik Natarajan & Melvyn Sim & Joline Uichanco, 2018. "Asymmetry and Ambiguity in Newsvendor Models," Management Science, INFORMS, vol. 64(7), pages 3146-3167, July.
  77. Shubhechyya Ghosal & Wolfram Wiesemann, 2020. "The Distributionally Robust Chance-Constrained Vehicle Routing Problem," Operations Research, INFORMS, vol. 68(3), pages 716-732, May.
  78. Soumyadip Ghosh & Henry Lam, 2019. "Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees," Operations Research, INFORMS, vol. 67(1), pages 232-249, January.
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  85. Fengmin Xu & Meihua Wang & Yu-Hong Dai & Dachuan Xu, 2018. "A sparse enhanced indexation model with chance and cardinality constraints," Journal of Global Optimization, Springer, vol. 70(1), pages 5-25, January.
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  87. Alex Suzdaltsev, 2020. "An Optimal Distributionally Robust Auction," Papers 2006.05192, arXiv.org, revised Aug 2020.
  88. Sergey S. Ketkov, 2023. "On the Multistage Shortest Path Problem Under Distributional Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 197(1), pages 277-308, April.
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  92. Yannan Chen & Hailin Sun & Huifu Xu, 2021. "Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems," Computational Optimization and Applications, Springer, vol. 78(1), pages 205-238, January.
  93. Soonhui Lee & Tito Homem-de-Mello & Anton Kleywegt, 2012. "Newsvendor-type models with decision-dependent uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(2), pages 189-221, October.
  94. Wolfram Wiesemann & Daniel Kuhn & Melvyn Sim, 2014. "Distributionally Robust Convex Optimization," Operations Research, INFORMS, vol. 62(6), pages 1358-1376, December.
  95. Bowen Li & Ruiwei Jiang & Johanna L. Mathieu, 2022. "Integrating unimodality into distributionally robust optimal power flow," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 594-617, October.
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  121. Zhu, Junjie & Huang, Shengjun & Liu, Yajie & Lei, Hongtao & Sang, Bo, 2021. "Optimal energy management for grid-connected microgrids via expected-scenario-oriented robust optimization," Energy, Elsevier, vol. 216(C).
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  123. Jun Li & Yizhe Huang & Yan‐Fu Li & Shuming Wang, 2023. "Redundancy allocation under state‐dependent distributional uncertainty of component lifetimes," Production and Operations Management, Production and Operations Management Society, vol. 32(3), pages 930-950, March.
  124. Gong, Hailei & Zhang, Zhi-Hai, 2022. "Benders decomposition for the distributionally robust optimization of pricing and reverse logistics network design in remanufacturing systems," European Journal of Operational Research, Elsevier, vol. 297(2), pages 496-510.
  125. Juan S. Borrero & Leonardo Lozano, 2021. "Modeling Defender-Attacker Problems as Robust Linear Programs with Mixed-Integer Uncertainty Sets," INFORMS Journal on Computing, INFORMS, vol. 33(4), pages 1570-1589, October.
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