Matches in SemOpenAlex for { <https://semopenalex.org/work/W2271690275> ?p ?o ?g. }
Showing items 1 to 50 of
50
with 100 items per page.
- W2271690275 abstract "In optimization problems appearing in fields such as economics, finance, or engineering, it is often important that a risk measure of a decision-dependent random variable stays below a prescribed level. At the same time, the underlying probability distribution determining the risk measure’s value is typically known only up to a certain degree and the constraint should hold for a reasonably wide class of probability distributions. In addition to that, the constraint should be computationally tractable. In this paper we review and generalize results on the derivation of tractable counterparts of such constraints for discrete probability distributions. Using established techniques in robust optimization, we show that the derivation of a tractable robust counterpart can be split into two parts: one corresponding to the risk measure and the other to the uncertainty set. This holds for a wide range of risk measures and uncertainty sets for probability distributions defined using statistical goodness-of-fit tests or probability metrics. In this way, we provide a unified framework of reformulating this class of constraints, extending the number of solvable risk measure-uncertainty set combinations considerably, including also risk measures that are nonlinear in the probabilities. To provide a clear overview for the user, we give the computational tractability status for each of the uncertainty set-risk measure pairs of which some have been solved in the literature. Examples, including portfolio optimization and antenna array design, illustrate the proposed approach in a theoretical and numerical setting." @default.
- W2271690275 created "2016-06-24" @default.
- W2271690275 creator A5029123069 @default.
- W2271690275 creator A5038644589 @default.
- W2271690275 creator A5046162022 @default.
- W2271690275 date "2014-01-01" @default.
- W2271690275 modified "2023-10-03" @default.
- W2271690275 title "Tractable Counterparts of Distributionally Robust Constraints on Risk Measures" @default.
- W2271690275 cites W2108463319 @default.
- W2271690275 doi "https://doi.org/10.2139/ssrn.2435921" @default.
- W2271690275 hasPublicationYear "2014" @default.
- W2271690275 type Work @default.
- W2271690275 sameAs 2271690275 @default.
- W2271690275 citedByCount "2" @default.
- W2271690275 countsByYear W22716902752015 @default.
- W2271690275 countsByYear W22716902752018 @default.
- W2271690275 crossrefType "journal-article" @default.
- W2271690275 hasAuthorship W2271690275A5029123069 @default.
- W2271690275 hasAuthorship W2271690275A5038644589 @default.
- W2271690275 hasAuthorship W2271690275A5046162022 @default.
- W2271690275 hasBestOaLocation W22716902752 @default.
- W2271690275 hasConcept C126255220 @default.
- W2271690275 hasConcept C149782125 @default.
- W2271690275 hasConcept C162324750 @default.
- W2271690275 hasConcept C33923547 @default.
- W2271690275 hasConcept C41008148 @default.
- W2271690275 hasConceptScore W2271690275C126255220 @default.
- W2271690275 hasConceptScore W2271690275C149782125 @default.
- W2271690275 hasConceptScore W2271690275C162324750 @default.
- W2271690275 hasConceptScore W2271690275C33923547 @default.
- W2271690275 hasConceptScore W2271690275C41008148 @default.
- W2271690275 hasLocation W22716902751 @default.
- W2271690275 hasLocation W22716902752 @default.
- W2271690275 hasLocation W22716902753 @default.
- W2271690275 hasOpenAccess W2271690275 @default.
- W2271690275 hasPrimaryLocation W22716902751 @default.
- W2271690275 hasRelatedWork W1522504334 @default.
- W2271690275 hasRelatedWork W1973538245 @default.
- W2271690275 hasRelatedWork W2023446719 @default.
- W2271690275 hasRelatedWork W2030617584 @default.
- W2271690275 hasRelatedWork W2056210026 @default.
- W2271690275 hasRelatedWork W2161519270 @default.
- W2271690275 hasRelatedWork W2899084033 @default.
- W2271690275 hasRelatedWork W3149328373 @default.
- W2271690275 hasRelatedWork W331667891 @default.
- W2271690275 hasRelatedWork W2142213187 @default.
- W2271690275 isParatext "false" @default.
- W2271690275 isRetracted "false" @default.
- W2271690275 magId "2271690275" @default.
- W2271690275 workType "article" @default.