DISTRIBUTIONALLY ROBUST STOCHASTIC PROGRAMMING

Shapiro, A

Shapiro, A (reprint author), Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA.

SIAM JOURNAL ON OPTIMIZATION, 2017; 27 (4): 2258

Abstract

In this paper we study distributionally robust stochastic programming in a setting where there is a specified reference probability measure and the un......

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