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Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

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Cited by:

  1. Dimitris Bertsimas & Shimrit Shtern & Bradley Sturt, 2023. "A Data-Driven Approach to Multistage Stochastic Linear Optimization," Management Science, INFORMS, vol. 69(1), pages 51-74, January.
  2. Vishal Gupta, 2019. "Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(9), pages 4242-4260, September.
  3. Shipra Agrawal & Yichuan Ding & Amin Saberi & Yinyu Ye, 2012. "Price of Correlations in Stochastic Optimization," Operations Research, INFORMS, vol. 60(1), pages 150-162, February.
  4. Zhang, Guowei & Jia, Ning & Zhu, Ning & He, Long & Adulyasak, Yossiri, 2023. "Humanitarian transportation network design via two-stage distributionally robust optimization," Transportation Research Part B: Methodological, Elsevier, vol. 176(C).
  5. Benjamin Armbruster & Erick Delage, 2015. "Decision Making Under Uncertainty When Preference Information Is Incomplete," Management Science, INFORMS, vol. 61(1), pages 111-128, January.
  6. Zhi Chen & Melvyn Sim & Huan Xu, 2019. "Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," Operations Research, INFORMS, vol. 67(5), pages 1328-1344, September.
  7. Corlu, Canan G. & Akcay, Alp & Xie, Wei, 2020. "Stochastic simulation under input uncertainty: A Review," Operations Research Perspectives, Elsevier, vol. 7(C).
  8. Tian, Xuecheng & Wang, Shuaian & Laporte, Gilbert & Yang, Ying, 2024. "Determinism versus uncertainty: Examining the worst-case expected performance of data-driven policies," European Journal of Operational Research, Elsevier, vol. 318(1), pages 242-252.
  9. Halil .Ibrahim Bayrak & c{C}au{g}{i}l Koc{c}yiu{g}it & Daniel Kuhn & Mustafa c{C}elebi P{i}nar, 2022. "Distributionally Robust Optimal Allocation with Costly Verification," Papers 2211.15122, arXiv.org, revised Jun 2024.
  10. Sheng Liu & Long He & Zuo-Jun Max Shen, 2021. "On-Time Last-Mile Delivery: Order Assignment with Travel-Time Predictors," Management Science, INFORMS, vol. 67(7), pages 4095-4119, July.
  11. Yu, Xinyao & Ma, Shoufeng & Zhu, Ning & Lam, William H.K. & Fu, Hao, 2023. "Ensuring the robustness of link flow observation systems in sensor failure events," Transportation Research Part B: Methodological, Elsevier, vol. 178(C).
  12. Dimitris Bertsimas & Xuan Vinh Doan & Karthik Natarajan & Chung-Piaw Teo, 2010. "Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 580-602, August.
  13. Wang, Zhuolin & You, Keyou & Song, Shiji & Zhang, Yuli, 2020. "Wasserstein distributionally robust shortest path problem," European Journal of Operational Research, Elsevier, vol. 284(1), pages 31-43.
  14. Xin Hai & Gregoire Loeper & Kihun Nam, 2023. "Data-driven Multiperiod Robust Mean-Variance Optimization," Papers 2306.16681, arXiv.org, revised Jul 2023.
  15. Deng, Menghua & Bian, Bomin & Zhou, Yanlin & Ding, Jianpeng, 2023. "Distributionally robust production and replenishment problem for hydrogen supply chains," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 179(C).
  16. Bertsimas, Dimitris & McCord, Christopher & Sturt, Bradley, 2023. "Dynamic optimization with side information," European Journal of Operational Research, Elsevier, vol. 304(2), pages 634-651.
  17. Zhiping Chen & Shen Peng & Jia Liu, 2018. "Data-Driven Robust Chance Constrained Problems: A Mixture Model Approach," Journal of Optimization Theory and Applications, Springer, vol. 179(3), pages 1065-1085, December.
  18. Zhang, Yachao & Huang, Zhanghao & Zheng, Feng & Zhou, Rongyu & Le, Jian & An, Xueli, 2020. "Cooperative optimization scheduling of the electricity-gas coupled system considering wind power uncertainty via a decomposition-coordination framework," Energy, Elsevier, vol. 194(C).
  19. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
  20. Jun-ya Gotoh & Michael Jong Kim & Andrew E. B. Lim, 2020. "Worst-case sensitivity," Papers 2010.10794, arXiv.org.
  21. Zhang, Hanxiao & Li, Yan-Fu, 2022. "Robust optimization on redundancy allocation problems in multi-state and continuous-state series–parallel systems," Reliability Engineering and System Safety, Elsevier, vol. 218(PA).
  22. Aharon Ben-Tal & Dick den Hertog & Anja De Waegenaere & Bertrand Melenberg & Gijs Rennen, 2013. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Management Science, INFORMS, vol. 59(2), pages 341-357, April.
  23. Martin Branda & Max Bucher & Michal Červinka & Alexandra Schwartz, 2018. "Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization," Computational Optimization and Applications, Springer, vol. 70(2), pages 503-530, June.
  24. Wei, Zhenbo & Wei, Pingan & Chen, Chiyao & Gao, Hongjun & Luo, Zihang & Xiang, Yue, 2023. "Two-stage stochastic decentralized low-carbon economic dispatch of integrated electricity-gas networks," Energy, Elsevier, vol. 282(C).
  25. Skalyga, Mikhail & Amelin, Mikael & Wu, Qiuwei & Söder, Lennart, 2023. "Distributionally robust day-ahead combined heat and power plants scheduling with Wasserstein Metric," Energy, Elsevier, vol. 269(C).
  26. Aleksandrina Goeva & Henry Lam & Huajie Qian & Bo Zhang, 2019. "Optimization-Based Calibration of Simulation Input Models," Operations Research, INFORMS, vol. 67(5), pages 1362-1382, September.
  27. Mohseni, Shayan & Pishvaee, Mir Saman, 2023. "Energy trading and scheduling in networked microgrids using fuzzy bargaining game theory and distributionally robust optimization," Applied Energy, Elsevier, vol. 350(C).
  28. Hu, Jian & Bansal, Manish & Mehrotra, Sanjay, 2018. "Robust decision making using a general utility set," European Journal of Operational Research, Elsevier, vol. 269(2), pages 699-714.
  29. Bogumił Kamiński & Michał Jakubczyk & Przemysław Szufel, 2018. "A framework for sensitivity analysis of decision trees," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(1), pages 135-159, March.
  30. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
  31. Mengshi Lu & Zuo‐Jun Max Shen, 2021. "A Review of Robust Operations Management under Model Uncertainty," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1927-1943, June.
  32. Marla, Lavanya & Rikun, Alexander & Stauffer, Gautier & Pratsini, Eleni, 2020. "Robust modeling and planning: Insights from three industrial applications," Operations Research Perspectives, Elsevier, vol. 7(C).
  33. Ketkov, Sergey S., 2024. "A study of distributionally robust mixed-integer programming with Wasserstein metric: on the value of incomplete data," European Journal of Operational Research, Elsevier, vol. 313(2), pages 602-615.
  34. Ran Ji & Miguel A. Lejeune, 2021. "Data-Driven Optimization of Reward-Risk Ratio Measures," INFORMS Journal on Computing, INFORMS, vol. 33(3), pages 1120-1137, July.
  35. Wang, Chong & Liu, Kaiyuan & Zhang, Canrong & Miao, Lixin, 2024. "Distributionally robust chance-constrained optimization for the integrated berth allocation and quay crane assignment problem," Transportation Research Part B: Methodological, Elsevier, vol. 182(C).
  36. Shubhechyya Ghosal & Wolfram Wiesemann, 2020. "The Distributionally Robust Chance-Constrained Vehicle Routing Problem," Operations Research, INFORMS, vol. 68(3), pages 716-732, May.
  37. Ghahtarani, Alireza & Saif, Ahmed & Ghasemi, Alireza, 2024. "Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 500-519.
  38. Soumyadip Ghosh & Henry Lam, 2019. "Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees," Operations Research, INFORMS, vol. 67(1), pages 232-249, January.
  39. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
  40. Fengmin Xu & Meihua Wang & Yu-Hong Dai & Dachuan Xu, 2018. "A sparse enhanced indexation model with chance and cardinality constraints," Journal of Global Optimization, Springer, vol. 70(1), pages 5-25, January.
  41. Stephan Eckstein & Michael Kupper & Mathias Pohl, 2018. "Robust risk aggregation with neural networks," Papers 1811.00304, arXiv.org, revised May 2020.
  42. Sergey S. Ketkov, 2023. "On the Multistage Shortest Path Problem Under Distributional Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 197(1), pages 277-308, April.
  43. Davide Lauria & Giorgio Consigli & Francesca Maggioni, 2022. "Optimal chance-constrained pension fund management through dynamic stochastic control," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(3), pages 967-1007, September.
  44. Yannan Chen & Hailin Sun & Huifu Xu, 2021. "Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems," Computational Optimization and Applications, Springer, vol. 78(1), pages 205-238, January.
  45. Soonhui Lee & Tito Homem-de-Mello & Anton Kleywegt, 2012. "Newsvendor-type models with decision-dependent uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(2), pages 189-221, October.
  46. Mihaela Bukljaš & Kristijan Rogić & Vladimir Jerebić, 2022. "Distributionally Robust Model and Metaheuristic Frame for Liner Ships Fleet Deployment," Sustainability, MDPI, vol. 14(9), pages 1-18, May.
  47. Ruiwei Jiang & Siqian Shen & Yiling Zhang, 2017. "Integer Programming Approaches for Appointment Scheduling with Random No-Shows and Service Durations," Operations Research, INFORMS, vol. 65(6), pages 1638-1656, December.
  48. Steffen Rebennack, 2022. "Data-driven stochastic optimization for distributional ambiguity with integrated confidence region," Journal of Global Optimization, Springer, vol. 84(2), pages 255-293, October.
  49. Angelos Georghiou & Angelos Tsoukalas & Wolfram Wiesemann, 2019. "Robust Dual Dynamic Programming," Operations Research, INFORMS, vol. 67(3), pages 813-830, May.
  50. Eunhye Song & Barry L. Nelson, 2019. "Input–Output Uncertainty Comparisons for Discrete Optimization via Simulation," Operations Research, INFORMS, vol. 67(2), pages 562-576, March.
  51. Yang, Yongjian & Yin, Yunqiang & Wang, Dujuan & Ignatius, Joshua & Cheng, T.C.E. & Dhamotharan, Lalitha, 2023. "Distributionally robust multi-period location-allocation with multiple resources and capacity levels in humanitarian logistics," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1042-1062.
  52. Liu, Yongchao & Xu, Huifu & Yang, Shu-Jung Sunny & Zhang, Jin, 2018. "Distributionally robust equilibrium for continuous games: Nash and Stackelberg models," European Journal of Operational Research, Elsevier, vol. 265(2), pages 631-643.
  53. Wei Liu & Li Yang & Bo Yu, 2022. "Kernel density estimation based distributionally robust mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 84(4), pages 1053-1077, December.
  54. Paul Glasserman & Xingbo Xu, 2013. "Robust Portfolio Control with Stochastic Factor Dynamics," Operations Research, INFORMS, vol. 61(4), pages 874-893, August.
  55. Ratha, Anubhav & Pinson, Pierre & Le Cadre, Hélène & Virag, Ana & Kazempour, Jalal, 2023. "Moving from linear to conic markets for electricity," European Journal of Operational Research, Elsevier, vol. 309(2), pages 762-783.
  56. Henry Lam, 2018. "Sensitivity to Serial Dependency of Input Processes: A Robust Approach," Management Science, INFORMS, vol. 64(3), pages 1311-1327, March.
  57. Gong, Hailei & Zhang, Zhi-Hai, 2022. "Benders decomposition for the distributionally robust optimization of pricing and reverse logistics network design in remanufacturing systems," European Journal of Operational Research, Elsevier, vol. 297(2), pages 496-510.
  58. Juan S. Borrero & Leonardo Lozano, 2021. "Modeling Defender-Attacker Problems as Robust Linear Programs with Mixed-Integer Uncertainty Sets," INFORMS Journal on Computing, INFORMS, vol. 33(4), pages 1570-1589, October.
  59. Cao, Yunzhi & Zhu, Xiaoyan & Yan, Houmin, 2022. "Data-driven Wasserstein distributionally robust mitigation and recovery against random supply chain disruption," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 163(C).
  60. Jose Blanchet & Lin Chen & Xun Yu Zhou, 2022. "Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances," Management Science, INFORMS, vol. 68(9), pages 6382-6410, September.
  61. Giorgio Costa & Roy H. Kwon, 2021. "Data-driven distributionally robust risk parity portfolio optimization," Papers 2110.06464, arXiv.org.
  62. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
  63. Xie, Chen & Wang, Liangquan & Yang, Chaolin, 2021. "Robust inventory management with multiple supply sources," European Journal of Operational Research, Elsevier, vol. 295(2), pages 463-474.
  64. Bita Analui & Georg Pflug, 2014. "On distributionally robust multiperiod stochastic optimization," Computational Management Science, Springer, vol. 11(3), pages 197-220, July.
  65. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.
  66. Miguel A. Lejeune, 2012. "Game Theoretical Approach for Reliable Enhanced Indexation," Decision Analysis, INFORMS, vol. 9(2), pages 146-155, June.
  67. Wang, Fan & Zhang, Chao & Zhang, Hui & Xu, Liang, 2021. "Short-term physician rescheduling model with feature-driven demand for mental disorders outpatients," Omega, Elsevier, vol. 105(C).
  68. Hui Liu & Zhenggang Fan & Haimin Xie & Ni Wang, 2022. "Distributionally Robust Joint Chance-Constrained Dispatch for Electricity–Gas–Heat Integrated Energy System Considering Wind Uncertainty," Energies, MDPI, vol. 15(5), pages 1-18, February.
  69. Zhongshun Shi & Siyang Gao & Hui Xiao & Weiwei Chen, 2019. "A worst‐case formulation for constrained ranking and selection with input uncertainty," Naval Research Logistics (NRL), John Wiley & Sons, vol. 66(8), pages 648-662, December.
  70. Qinghe Sun & Li Chen & Mabel C. Chou & Qiang Meng, 2023. "Mitigating the financial risk behind emission cap compliance: A case in maritime transportation," Production and Operations Management, Production and Operations Management Society, vol. 32(1), pages 283-300, January.
  71. Arlen Dean & Amirhossein Meisami & Henry Lam & Mark P. Van Oyen & Christopher Stromblad & Nick Kastango, 2022. "Quantile regression forests for individualized surgery scheduling," Health Care Management Science, Springer, vol. 25(4), pages 682-709, December.
  72. Yue Zhao & Zhi Chen & Zhenzhen Zhang, 2023. "Distributionally Robust Chance-Constrained p -Hub Center Problem," INFORMS Journal on Computing, INFORMS, vol. 35(6), pages 1361-1382, November.
  73. Zhi Chen & Melvyn Sim & Peng Xiong, 2020. "Robust Stochastic Optimization Made Easy with RSOME," Management Science, INFORMS, vol. 66(8), pages 3329-3339, August.
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  77. Viet Anh Nguyen & Soroosh Shafiee & Damir Filipovi'c & Daniel Kuhn, 2021. "Mean-Covariance Robust Risk Measurement," Papers 2112.09959, arXiv.org, revised Nov 2023.
  78. Ali Yekkehkhany & Timothy Murray & Rakesh Nagi, 2021. "Stochastic Superiority Equilibrium in Game Theory," Decision Analysis, INFORMS, vol. 18(2), pages 153-168, June.
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  80. Bart P. G. Van Parys & Peyman Mohajerin Esfahani & Daniel Kuhn, 2021. "From Data to Decisions: Distributionally Robust Optimization Is Optimal," Management Science, INFORMS, vol. 67(6), pages 3387-3402, June.
  81. Meng, Zhu & Zhu, Ning & Zhang, Guowei & Yang, Yuance & Liu, Zhaocai & Ke, Ginger Y., 2024. "Data-driven drone pre-positioning for traffic accident rapid assessment," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 183(C).
  82. Anulekha Dhara & Bikramjit Das & Karthik Natarajan, 2021. "Worst-Case Expected Shortfall with Univariate and Bivariate Marginals," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 370-389, January.
  83. Jonathan Yu-Meng Li, 2023. "Wasserstein-Kelly Portfolios: A Robust Data-Driven Solution to Optimize Portfolio Growth," Papers 2302.13979, arXiv.org.
  84. Xiangyi Fan & Grani A. Hanasusanto, 2024. "A Decision Rule Approach for Two-Stage Data-Driven Distributionally Robust Optimization Problems with Random Recourse," INFORMS Journal on Computing, INFORMS, vol. 36(2), pages 526-542, March.
  85. Arash Gourtani & Huifu Xu & David Pozo & Tri-Dung Nguyen, 2016. "Robust unit commitment with $$n-1$$ n - 1 security criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(3), pages 373-408, June.
  86. Li, Xiaobo & Natarajan, Karthik & Teo, Chung-Piaw & Zheng, Zhichao, 2014. "Distributionally robust mixed integer linear programs: Persistency models with applications," European Journal of Operational Research, Elsevier, vol. 233(3), pages 459-473.
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  93. Oleksandr Romanko & Helmut Mausser, 2016. "Robust scenario-based value-at-risk optimization," Annals of Operations Research, Springer, vol. 237(1), pages 203-218, February.
  94. Yu, Yugang & Wang, Bo & Zheng, Shengming, 2024. "Data-driven product design and assortment optimization," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 182(C).
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  99. Amir Ardestani-Jaafari & Erick Delage, 2016. "Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems," Operations Research, INFORMS, vol. 64(2), pages 474-494, April.
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  104. Oleksandr Romanko & Helmut Mausser, 2016. "Robust scenario-based value-at-risk optimization," Annals of Operations Research, Springer, vol. 237(1), pages 203-218, February.
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  107. Dimitris Bertsimas & Melvyn Sim & Meilin Zhang, 2019. "Adaptive Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(2), pages 604-618, February.
  108. Vincent Tsz Fai Chow & Zheng Cui & Daniel Zhuoyu Long, 2022. "Target-Oriented Distributionally Robust Optimization and Its Applications to Surgery Allocation," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2058-2072, July.
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  113. Jonathan Li & Roy Kwon, 2013. "Portfolio selection under model uncertainty: a penalized moment-based optimization approach," Journal of Global Optimization, Springer, vol. 56(1), pages 131-164, May.
  114. Viet Anh Nguyen & Daniel Kuhn & Peyman Mohajerin Esfahani, 2018. "Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator," Papers 1805.07194, arXiv.org.
  115. Liu, Haiyan & Mao, Tiantian, 2022. "Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 393-417.
  116. Soroush Saghafian & Brian Tomlin, 2016. "The Newsvendor under Demand Ambiguity: Combining Data with Moment and Tail Information," Operations Research, INFORMS, vol. 64(1), pages 167-185, February.
  117. Haolin Ruan & Zhi Chen & Chin Pang Ho, 2023. "Adjustable Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," INFORMS Journal on Computing, INFORMS, vol. 35(5), pages 1002-1023, September.
  118. Meysam Cheramin & Jianqiang Cheng & Ruiwei Jiang & Kai Pan, 2022. "Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1768-1794, May.
  119. Napat Rujeerapaiboon & Daniel Kuhn & Wolfram Wiesemann, 2016. "Robust Growth-Optimal Portfolios," Management Science, INFORMS, vol. 62(7), pages 2090-2109, July.
  120. Chen, Qingxin & Ma, Shoufeng & Li, Hongming & Zhu, Ning & He, Qiao-Chu, 2024. "Optimizing bike rebalancing strategies in free-floating bike-sharing systems: An enhanced distributionally robust approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 184(C).
  121. Ziqi Wu & Kai Zhu & Shaojian Qu, 2022. "Distributionally Robust Optimization Model for a Minimum Cost Consensus with Asymmetric Adjustment Costs Based on the Wasserstein Metric," Mathematics, MDPI, vol. 10(22), pages 1-21, November.
  122. Grani A. Hanasusanto & Vladimir Roitch & Daniel Kuhn & Wolfram Wiesemann, 2017. "Ambiguous Joint Chance Constraints Under Mean and Dispersion Information," Operations Research, INFORMS, vol. 65(3), pages 751-767, June.
  123. Wu, Zhongqi & Jiang, Hui & Zhou, Yangye & Li, Haoyan, 2024. "Enhancing emergency medical service location model for spatial accessibility and equity under random demand and travel time," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 185(C).
  124. Qingliang Fan & Ruike Wu & Yanrong Yang, 2024. "Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets," Papers 2410.01826, arXiv.org.
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