Hamed Rahimian

We use distributionally robust stochastic programs (DRSPs) to model a general class of newsvendor problems where the underlying demand distribution is unknown, and so the goal is to find an order quantity that minimizes the worst-case expected cost among an ambiguity set of distributions. The ambiguity set consists of those distributions that are not far—in … Read more

Traditional stochastic programs assume that the probability distribution of uncertainty is known. However, in practice, the probability distribution oftentimes is not known or cannot be accurately approximated. One way to address such distributional ambiguity is to work with distributionally robust convex stochastic programs (DRSPs), which minimize the worst-case expected cost with respect to a set … Read more