tractability

Distributionally Favorable Optimization: A Framework for Data-driven Decision-making with Endogenous Outliers

  • Nan Jiang
  • Weijun Xie
    • Categories Robust Optimization, Stochastic Programming Tags , , , ,

    A typical data-driven stochastic program aims to seek the best decision that minimizes the sum of a deterministic cost function and an expected recourse function under a given distribution. Recently, much success has been witnessed in the development of Distributionally Robust Optimization (DRO), which considers the worst-case expected recourse function under the least favorable probability … Read more

    Shortfall Risk Models When Information of Loss Function Is Incomplete

  • Erick Delage
  • Shaoyan Guo
  • Huifu Xu
    • Categories Linear Programming, Robust Optimization, Stochastic Programming Tags , , , , , ,

    Utility-based shortfall risk measure (SR) has received increasing attentions over the past few years for its potential to quantify more effectively the risk of large losses than conditional value at risk. In this paper we consider the case that the true loss function is unavailable either because it is difficult to be identified or the … Read more