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Distributionally robust optimization with decision dependent ambiguity sets

Luo, FQ; Mehrotra, S

Luo, FQ (corresponding author), Northwestern Univ, Dept Ind Engn & Management Sci, Evanston, IL 60208 USA.

OPTIMIZATION LETTERS, 2020; 14 (8): 2565

Abstract

We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decis......

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