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- W2897745823 abstract "Abstract We considers a distributionally robust optimization problem when the ambiguity set specifies the support as well as the mean and the covariance matrix of the uncertain parameters. After deriving a general deterministic reformulation for the distributionally robust optimization problem, we obtain tractable optimization reformulations when the support set is the whole space and when it is a convex polyhedral set. A hybrid method of Gurobi and a smoothing Newton conjugate gradient method is suggested to solve the tractable optimization problems and numerical results of the hybrid method for solving an illustrative example are reported." @default.
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- W2897745823 date "2018-09-25" @default.
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- W2897745823 title "A note on distributionally robust optimization under moment uncertainty" @default.
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- W2897745823 doi "https://doi.org/10.1515/jnma-2017-0020" @default.
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