Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity
Sign Up to like & getrecommendations! Published in 2024 at "Journal of Optimization Theory and Applications"
DOI: 10.1007/s10957-024-02550-y
Abstract: We investigate a new family of distributionally robust optimization problem under marginal and copula ambiguity with applications to portfolio optimization problems. The proposed model considers the ambiguity set of portfolio returns in which the marginal… read more here.
Keywords: copula ambiguity; portfolio; marginal copula; distributionally robust ... See more keywords
Globalized Distributionally Robust Optimization with Multi Core Sets
Sign Up to like & getrecommendations! Published in 2024 at "Journal of Optimization Theory and Applications"
DOI: 10.1007/s10957-025-02740-2
Abstract: It is essential to capture the true probability distribution of uncertain data in the distributionally robust optimization (DRO). The uncertain data presents multimodality in numerous application scenarios, in the sense that the probability density function… read more here.
Keywords: core; core sets; distributionally robust; uncertain data ... See more keywords
Data-driven Stochastic Programming with Distributionally Robust Constraints Under Wasserstein Distance: Asymptotic Properties
Sign Up to like & getrecommendations! Published in 2020 at "Journal of the Operations Research Society of China"
DOI: 10.1007/s40305-020-00313-w
Abstract: Distributionally robust optimization is a dominant paradigm for decision-making problems where the distribution of random variables is unknown. We investigate a distributionally robust optimization problem with ambiguities in the objective function and countably infinite constraints.… read more here.
Keywords: distributionally robust; data driven; optimization; problem ... See more keywords
Distributionally robust last-train coordination planning problem with dwell time adjustment strategy
Sign Up to like & getrecommendations! Published in 2021 at "Applied Mathematical Modelling"
DOI: 10.1016/j.apm.2020.10.035
Abstract: Abstract Aiming to increase successful transfers at stations for late-night passengers, we first propose an efficient dwell time adjustment strategy for the last-train coordination planning problem under transfer-passenger flows uncertainty. Unlike the traditional robust optimization… read more here.
Keywords: adjustment strategy; distributionally robust; model; time adjustment ... See more keywords
A distributionally robust bidding strategy for a wind power plant
Sign Up to like & getrecommendations! Published in 2019 at "Electric Power Systems Research"
DOI: 10.1016/j.epsr.2019.105986
Abstract: Abstract This paper presents a two-stage distributionally robust model to derive optimal bidding strategies for an aggregated wind power plant (WPP), that participates as a price-maker in the day-ahead market, and a deviator in the… read more here.
Keywords: power; model; power plant; distributionally robust ... See more keywords
A distributionally robust bidding strategy for a wind-storage aggregator
Sign Up to like & getrecommendations! Published in 2020 at "Electric Power Systems Research"
DOI: 10.1016/j.epsr.2020.106745
Abstract: Abstract This paper derives distributionally robust optimal bidding strategies for a wind-storage aggregator that participates as a price-maker in the day-ahead market, and a deviator in the balancing market. The market power is modeled by… read more here.
Keywords: distributionally robust; storage aggregator; bidding; wind storage ... See more keywords
Distributionally robust hybrid energy management in smart mining using process-coupled primal-dual mirror descent
Sign Up to like & getrecommendations! Published in 2025 at "Scientific Reports"
DOI: 10.1038/s41598-025-11013-x
Abstract: This study presents a process-centric hybrid energy management framework tailored for large-scale smart mining operations. The framework addresses three major challenges: (i) multi-source uncertainty propagation, (ii) cross-process energy coupling, and (iii) time-varying, safety-critical operational constraints.… read more here.
Keywords: process; energy; distributionally robust; safety ... See more keywords
A distributionally robust optimisation for COVID-19 testing facility territory design and capacity planning
Sign Up to like & getrecommendations! Published in 2022 at "International Journal of Production Research"
DOI: 10.1080/00207543.2021.2022233
Abstract: COVID-19 has been a severe crisis for global health, which caused significant loss of life and property. One of the most effective ways to prevent the spread of the virus during an epidemic is to… read more here.
Keywords: territory design; robust optimisation; covid; distributionally robust ... See more keywords
A target-based distributionally robust model for the parallel machine scheduling problem
Sign Up to like & getrecommendations! Published in 2022 at "International Journal of Production Research"
DOI: 10.1080/00207543.2022.2053602
Abstract: ABSTRACT We develop a distributionally robust optimisation (DRO) model based on a risk measure for the parallel machine scheduling problem (PMSP) with random job processing times. We propose an underperformance risk index (URI) to control… read more here.
Keywords: scheduling problem; machine scheduling; distributionally robust; parallel machine ... See more keywords
A Wasserstein distributionally robust chance constrained programming approach for emergency medical system planning problem
Sign Up to like & getrecommendations! Published in 2022 at "International Journal of Systems Science"
DOI: 10.1080/00207721.2022.2040641
Abstract: This paper proposes a distributionally robust chance constrained programming model for an emergency medical system location problem with uncertain demands. By minimising the total expected cost, the location of emergency medical stations, the allocation of… read more here.
Keywords: constrained programming; distributionally robust; chance constrained; robust chance ... See more keywords
Learning Optimal Distributionally Robust Individualized Treatment Rules
Sign Up to like & getrecommendations! Published in 2021 at "Journal of the American Statistical Association"
DOI: 10.1080/01621459.2020.1796359
Abstract: Abstract Recent development in the data-driven decision science has seen great advances in individualized decision making. Given data with individual covariates, treatment assignments and outcomes, policy makers best individualized treatment rule (ITR) that maximizes the… read more here.
Keywords: individualized treatment; training testing; itr; treatment ... See more keywords