Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures

(2016) Krzysztof Postek et al.   SIAM REVIEW

Empirical risk minimization for heavy-tailed losses

(2015) Christian Brownlees et al.   ANNALS OF STATISTICS

A comment on “computational complexity of stochastic programming problems”

(2015) Grani A. Hanasusanto et al.   MATHEMATICAL PROGRAMMING

Data-driven chance constrained stochastic program

(2015) Ruiwei Jiang et al.   MATHEMATICAL PROGRAMMING

Deriving robust counterparts of nonlinear uncertain inequalities

(2014) Aharon Ben-Tal et al.   MATHEMATICAL PROGRAMMING

Distributionally Robust Convex Optimization

(2014) Wolfram Wiesemann et al.   OPERATIONS RESEARCH

Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach

(2014) David Wozabal   OPERATIONS RESEARCH

Models and algorithms for distributionally robust least squares problems

(2013) Sanjay Mehrotra et al.   MATHEMATICAL PROGRAMMING

Challenging the empirical mean and empirical variance: A deviation study

(2012) Olivier Catoni   ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

Simple Bounds for the Convergence of Empirical and Occupation Measures in 1-Wasserstein Distance

(2012) Emmanuel Boissard   ELECTRONIC JOURNAL OF PROBABILITY

Robust Solutions of Optimization Problems Affected by Uncertain Probabilities

(2012) Aharon Ben-Tal et al.   MANAGEMENT SCIENCE

A framework for optimization under ambiguity

(2010) David Wozabal   ANNALS OF OPERATIONS RESEARCH

TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION

(2010) Karthik Natarajan et al.   MATHEMATICAL FINANCE

Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion

(2010) Dimitris Bertsimas et al.   MATHEMATICS OF OPERATIONS RESEARCH

Monotone Approximation of Decision Problems

(2010) Naveed Chehrazi et al.   OPERATIONS RESEARCH

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

(2010) Erick Delage et al.   OPERATIONS RESEARCH

Distributionally Robust Optimization and Its Tractable Approximations

(2010) Joel Goh et al.   OPERATIONS RESEARCH