An Approximate Algorithm for Sparse Distributionally Robust Optimization

In this paper, we propose a sparse distributionally robust optimization (DRO) model incorporating the Conditional Value-at-Risk (CVaR) measure to control tail risks in uncertain environments. The model utilizes sparsity to reduce transaction costs and enhance operational efficiency. We reformulate t...

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Bibliographic Details

Published in:	Information (Basel) Vol. 16; no. 8; p. 676
Main Authors:	Wang, Ruyu, Hu, Yaozhong, Liu, Cong, Gao, Quanwei
Format:	Journal Article
Language:	English
Published:	Basel MDPI AG 01.08.2025
Subjects:	Algorithms Analysis approximate algorithm Black swan event Conditional Value-at-Risk (CVaR) Decision making distributionally robust optimization (DRO) Investment analysis Optimization portfolio selection Production planning Random variables Robustness sparse optimization
ISSN:	2078-2489, 2078-2489
Online Access:	Get full text
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