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...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Information (Basel) Jg. 16; H. 8; S. 676
Hauptverfasser:	Wang, Ruyu, Hu, Yaozhong, Liu, Cong, Gao, Quanwei
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Basel MDPI AG 01.08.2025
Schlagworte:	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-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!