Distributionally Robust Optimization and Its Tractable Approximations

Joel Goh
Joel Goh
[email protected]
Stanford Graduate School of Business, and NUS Business School, National University of Singapore, Singapore
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,
Melvyn Sim
Melvyn Sim
[email protected]
NUS Business School and NUS Risk Management Institute, National University of Singapore, Singapore
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Joel Goh

[email protected]

Stanford Graduate School of Business, and NUS Business School, National University of Singapore, Singapore

Search for more papers by this author

,

Melvyn Sim

[email protected]

NUS Business School and NUS Risk Management Institute, National University of Singapore, Singapore

Search for more papers by this author

Published Online:23 Apr 2010https://doi.org/10.1287/opre.1090.0795

Supplemental Material

opre.1090.0795-sm-ec.pdf (256 KB)

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  IEEE Transactions on Sustainable Energy, Vol. 10, No. 2
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  21 November 2019
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- Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
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- Chebyshev Inequalities for Products of Random Variables
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- Security-Constrained Transmission Expansion Planning with Risk Index of N-1 Security Obtained from PMU Data
- Strategic Planning of Steam Assisted Gravity Drainage Reservoir Development under Reservoir Production and Oil Price Uncertainty
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- Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information
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- Segregated Linear Decision Rules for Distributionally Robust Control with Linear Dynamics and Quadratic Cost
- Robust Defibrillator Deployment Under Cardiac Arrest Location Uncertainty via Row-and-Column Generation
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- A Utility Theory Based Interactive Approach to Robustness in Linear Optimization
  30 October 2017 | Journal of Global Optimization, Vol. 70, No. 4
- Jointly optimizing ship sailing speed and bunker purchase in liner shipping with distribution-free stochastic bunker prices
  Transportation Research Part C: Emerging Technologies, Vol. 89
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  18 January 2017 | Optimization Methods and Software, Vol. 32, No. 3
- Service Region Design for Urban Electric Vehicle Sharing Systems
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- Incorporating model uncertainty into optimal insurance contract design
  Insurance: Mathematics and Economics, Vol. 73
- Toward Machine Wald
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- A Distributionally Robust Optimization Model for Unit Commitment Considering Uncertain Wind Power Generation
  IEEE Transactions on Power Systems, Vol. 32, No. 1
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- Robust MDPs with k-Rectangular Uncertainty
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  18 October 2016 | Foundations and Trends® in Technology, Information and Operations Management, Vol. 9, No. 1-2
- Research and Teaching Opportunities in Project Management
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cover image Operations Research

Volume 58, Issue 4-part-1

July-August 2010

Pages iii-1033

Article Information

Supplemental Material

Metrics

Information

Received:April 01, 2009
Accepted:October 01, 2009
Published Online:April 23, 2010

Copyright © 2010, INFORMS

Cite as

Joel Goh, Melvyn Sim, (2010) Distributionally Robust Optimization and Its Tractable Approximations. Operations Research 58(4-part-1):902-917.

https://doi.org/10.1287/opre.1090.0795

Keywords