Robust sample average approximation

Authors

Keywords

Sample average approximation of stochastic optimization, Data-driven optimization, Goodness-of-fit testing, Distributionally robust optimization, Conic programming, Inventory management, Portfolio allocation, 90C15, 62G10, 90C47, 90C34, 90C25

Journal

MATHEMATICAL PROGRAMMING

Volume -, Issue -, Pages -

Publisher

Springer Nature

Online

2017-06-29

DOI

10.1007/s10107-017-1174-z

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