Open AccessDistributionally Robust Optimization Based on Kernel Density Estimation and Mean-Entropic Value-at-Risk
Author(s) -
Wei Liu,
Li Yang,
Bo Yu
Publication year - 2023
Publication title -
informs journal on optimization
Language(s) - English
Resource type - Journals
eISSN - 2575-1492
pISSN - 2575-1484
DOI - 10.1287/ijoo.2022.0076
Subject(s) - mathematical optimization , kernel density estimation , robust optimization , portfolio optimization , probability density function , newsvendor model , stochastic programming , probability distribution , mathematics , optimization problem , curse of dimensionality , stochastic optimization , empirical distribution function , computer science , portfolio , finance , statistics , estimator , supply chain , political science , law , economics