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BAYESIAN DISTRIBUTIONALLY ROBUST OPTIMIZATION

Shapiro, A; Zhou, EL; Lin, YF

Shapiro, A (通讯作者),Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA.

SIAM JOURNAL ON OPTIMIZATION, 2023; 33 (2): 1279

Abstract

We introduce a new framework, Bayesian distributionally robust optimization (Bayesian-DRO), for data-driven stochastic optimization where the underlyi......

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