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- Publisher Website: 10.1016/j.orl.2017.10.001
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Article: Primalâdual hybrid gradient method for distributionally robust optimization problems
Title | Primalâdual hybrid gradient method for distributionally robust optimization problems |
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Authors | |
Keywords | Primalâdual hybrid gradient Discretization method Distributionally robust optimization Moment conditions Wasserstein metric |
Issue Date | 2017 |
Citation | Operations Research Letters, 2017, v. 45, n. 6, p. 625-630 How to Cite? |
Abstract | © 2017 Elsevier B.V. We focus on the discretization approach to distributionally robust optimization (DRO) problems and propose a numerical scheme originated from the primalâdual hybrid gradient (PDHG) method that recently has been well studied in convex optimization area. Specifically, we consider the cases where the ambiguity set of the discretized DRO model is defined through the moment condition and Wasserstein metric, respectively. Moreover, we apply the PDHG to a portfolio selection problem modelled by DRO and verify its efficiency. |
Persistent Identifier | http://hdl.handle.net/10722/251250 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 0.449 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Liu, Yongchao | - |
dc.contributor.author | Yuan, Xiaoming | - |
dc.contributor.author | Zeng, Shangzhi | - |
dc.contributor.author | Zhang, Jin | - |
dc.date.accessioned | 2018-02-01T01:55:01Z | - |
dc.date.available | 2018-02-01T01:55:01Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Operations Research Letters, 2017, v. 45, n. 6, p. 625-630 | - |
dc.identifier.issn | 0167-6377 | - |
dc.identifier.uri | http://hdl.handle.net/10722/251250 | - |
dc.description.abstract | © 2017 Elsevier B.V. We focus on the discretization approach to distributionally robust optimization (DRO) problems and propose a numerical scheme originated from the primalâdual hybrid gradient (PDHG) method that recently has been well studied in convex optimization area. Specifically, we consider the cases where the ambiguity set of the discretized DRO model is defined through the moment condition and Wasserstein metric, respectively. Moreover, we apply the PDHG to a portfolio selection problem modelled by DRO and verify its efficiency. | - |
dc.language | eng | - |
dc.relation.ispartof | Operations Research Letters | - |
dc.subject | Primalâdual hybrid gradient | - |
dc.subject | Discretization method | - |
dc.subject | Distributionally robust optimization | - |
dc.subject | Moment conditions | - |
dc.subject | Wasserstein metric | - |
dc.title | Primalâdual hybrid gradient method for distributionally robust optimization problems | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.orl.2017.10.001 | - |
dc.identifier.scopus | eid_2-s2.0-85032192162 | - |
dc.identifier.volume | 45 | - |
dc.identifier.issue | 6 | - |
dc.identifier.spage | 625 | - |
dc.identifier.epage | 630 | - |
dc.identifier.isi | WOS:000418216800018 | - |
dc.identifier.issnl | 0167-6377 | - |