Correlation robust stochastic optimization

  title={Correlation robust stochastic optimization},
  author={Shipra Agrawal and Yichuan Ding and Amin Saberi and Yinyu Ye},
  booktitle={SODA '10},
We consider a robust model proposed by Scarf, 1958, for stochastic optimization when only the marginal probabilities of (binary) random variables are given, and the correlation between the random variables is unknown. In the robust model, the objective is to minimize expected cost against worst possible joint distribution with those marginals. We introduce the concept of correlation gap to compare this model to the stochastic optimization model that ignores correlations and minimizes expected… 

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