Characterization of the equivalence of robustification and regularization in linear and matrix regression

•We characterize the connection between robust optimization and regularization.•We extend the characterization to new settings such as matrix completion.•Robust optimization and regularization are not always equivalent. The notion of developing statistical methods in machine learning which are robus...

Full description

Bibliographic Details

Published in:	European journal of operational research Vol. 270; no. 3; pp. 931 - 942
Main Authors:	Bertsimas, Dimitris, Copenhaver, Martin S.
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.11.2018
Subjects:	Adversarial learning Convex programming Penalty methods Robust optimization Statistical regression Statistical regression Penalty methods Robust optimization Adversarial learning Convex programming
ISSN:	0377-2217, 1872-6860
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!