Calibration of Distributionally Robust Empirical Optimization Models

• 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
• Institution: National University of Singapore

10.1287/opre.2020.2041