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Data-driven distributionally robust optimization using the ...

Data-driven distributionally robust optimization using the ...

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116 P. Mohajerin Esfahani, D. Kuhn x ∈ Rn that minimizes an expected cost EP[h(x,ξ)], where the expectation is taken with respect to the distribution P of the continuous random vector ξ ∈ Rm.However, classical stochastic programming is challenged …

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