Calibration of Distributionally Robust Empirical Optimization Models

Calibration of Distributionally Robust Empirical Optimization Models

10.1287/opre.2020.2041

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Bibliographic Details
Main Authors: Gotoh, Jun‐ya, Kim, Michael Jong, Lim, Andrew EB
Other Authors: DECISION SCIENCES
Format: Article
Published: Institute for Operations Research and the Management Sciences (INFORMS) 2021
Subjects:
robust empirical optimization
data driven optimization
out-of-sample performance
variance reduction
calibration
Online Access:https://scholarbank.nus.edu.sg/handle/10635/194592
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Institution: National University of Singapore

Internet

https://scholarbank.nus.edu.sg/handle/10635/194592

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