distributionally robust optimization

A practicable framework for distributionally robust linear optimization

  • Dimitris Bertsimas
  • Melvyn Sim
  • Meilin Zhang
    • Categories Applications - OR and Management Sciences Tags , ,

    We developed a modular framework to obtain exact and approximate solutions to a class of linear optimization problems with recourse with the goal to minimize the worst-case expected objective over an ambiguity set of distributions. The ambiguity set is specified by linear and conic quadratic representable expectation constraints and the support set is also linear … Read more

    Distributionally robust control of constrained stochastic systems

  • Paul J. Goulart
  • Daniel Kuhn
  • Bart Paul Gerard Van Parys
  • Manfred Morari
    • Categories Control Applications, Robust Optimization Tags , ,

    We investigate the control of constrained stochastic linear systems when faced with only limited information regarding the disturbance process, i.e. when only the first two moments of the disturbance distribution are known. We consider two types of distributionally robust constraints. The constraints of the first type are required to hold with a given probability for … Read more