Distributionally robust optimization with correlated data from vector autoregressive processes

Dou, Xialiang; Anitescu, Mihai

doi:10.1016/j.orl.2019.04.005

Title: Distributionally robust optimization with correlated data from vector autoregressive processes

Journal Article · 01 July 2019 · Operations Research Letters

DOI: https://doi.org/10.1016/j.orl.2019.04.005 · OSTI ID:1636221

Dou, Xialiang; Anitescu, Mihai

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Sponsoring Organization:: USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR)

Grant/Contract Number:: AC02-06CH11347

OSTI ID:: 1636221

Journal Information:: Operations Research Letters, Journal Name: Operations Research Letters Vol. 47 Journal Issue: 4; ISSN 0167-6377

Publisher:: ElsevierCopyright Statement

Country of Publication:: Netherlands

Language:: English

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Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems Delage, Erick; Ye, Yinyu Operations Research, Vol. 58, Issue 3 https://doi.org/10.1287/opre.1090.0741	journal	June 2010
Causal Modelling and Brain Connectivity in Functional Magnetic Resonance Imaging Friston, Karl PLoS Biology, Vol. 7, Issue 2 https://doi.org/10.1371/journal.pbio.1000033	journal	February 2009
Data-driven chance constrained stochastic program Jiang, Ruiwei; Guan, Yongpei Mathematical Programming, Vol. 158, Issue 1-2 https://doi.org/10.1007/s10107-015-0929-7	journal	July 2015
Robust Stochastic Lot-Sizing by Means of Histograms Klabjan, Diego; Simchi-Levi, David; Song, Miao Production and Operations Management, Vol. 22, Issue 3 https://doi.org/10.1111/j.1937-5956.2012.01420.x	journal	February 2013
Prox-Method with Rate of Convergence O (1/ t ) for Variational Inequalities with Lipschitz Continuous Monotone Operators and Smooth Convex-Concave Saddle Point Problems Nemirovski, Arkadi SIAM Journal on Optimization, Vol. 15, Issue 1 https://doi.org/10.1137/S1052623403425629	journal	January 2004
Macroeconomics and Reality Sims, Christopher A. Econometrica, Vol. 48, Issue 1 https://doi.org/10.2307/1912017	journal	January 1980
On general minimax theorems Sion, Maurice Pacific Journal of Mathematics, Vol. 8, Issue 1 https://doi.org/10.2140/pjm.1958.8.171	journal	January 1958
Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems Sun, Hailin; Xu, Huifu Mathematics of Operations Research, Vol. 41, Issue 2 https://doi.org/10.1287/moor.2015.0732	journal	May 2016
Likelihood robust optimization for data-driven problems Wang, Zizhuo; Glynn, Peter W.; Ye, Yinyu Computational Management Science, Vol. 13, Issue 2 https://doi.org/10.1007/s10287-015-0240-3	journal	September 2015

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