Conic reformulations for Kullback-Leibler divergence constrained distributionally robust optimization and applications
In this paper, we consider a Kullback-Leibler divergence constrained distributionally robust optimization model. This model considers an ambiguity set that consists of all distributions whose Kullback-Leibler divergence to an empirical distribution is bounded. Utilizing the fact that this divergence...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Balikesir University
2021-04-01
|
| Series: | An International Journal of Optimization and Control: Theories & Applications |
| Subjects: | |
| Online Access: | http://www.ijocta.org/index.php/files/article/view/1001 |