Chi-Optimization – Novel Approach for Optimization under Uncertainty with Application on Forecast- and Decision Problems

We propose a novel approach for optimization and decision problems under uncertainty. We first describe it for stochastic optimization under distributional ambiguity with and without data for the random parameter. Distributional ambiguity means that an entire family $P$ of distributions is considered instead of a single one. For our approach, which avoids non-verifiable assumptions and … Read more