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A second-order conic programming (SOCP) approach to solve distributionally robust two-stage stochastic linear programs over 1-Wasserstein balls is proposed and it is shown that such a robust program is generally NP-hard as it involves a norm maximization problem over a polyhedron.
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- Computer ScienceJournal of global optimization : an international journal dealing with theoretical and computational aspects of seeking global optima and their applications in science, management and engineering
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The experimental results show that the portfolios constructed by the proposed DR-MAD model are superior to the benchmarks in terms of profitability and stability in most fluctuating markets, suggesting that Wasserstein distributionally robust optimization framework is an effective approach to address data uncertainty in portfolio optimization.
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- BusinessDiscrete & Continuous Dynamical Systems - S
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As a new retail model, the front distribution center (FDC) has been recognized as an effective instrument for timely order delivery. However, the high customer demand uncertainty, multi-item order…
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A target-oriented multi-attribute travel utility model is introduced, where each attribute is assigned a target by travelers, and travelers’ objective is to maximize their travel utility that is determined by the achieved targets.
Distributionally Robust Optimization: A review on theory and applications
- Computer ScienceNumerical Algebra, Control & Optimization
- 2022
This paper starts with reviewing the modeling power and computational attractiveness of DRO approaches, induced by the ambiguity sets structure and tractable robust counterpart reformulations, and summarizes the efficient solution methods, out-of-sample performance guarantee, and convergence analysis.
Finding Reliable Paths Considering the Earliest Arrival Time and the Latest Departure Time With 3-Parameter Lognormal Travel Times
- BusinessIEEE Transactions on Vehicular Technology
- 2020
Two models and algorithms to find reliable paths considering the earliest arrival time and the latest departure time are presented, using the 3-parameter lognormal distribution to describe travel time.
A generalized Benders decomposition approach for the mean-standard deviation shortest path problem
- MathematicsTransportation Letters
- 2022
Distributional Robust Portfolio Construction based on Investor Aversion
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: In behavioral finance, aversion affects investors' judgment of future uncertainty when profit and loss occur. Considering investors' aversion to loss and risk, and the ambiguous uncertainty…
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