Mohammed Rayyan Sheriff, Peyman Mohajerin Esfahani
TL;DR该文提出了一种基于 G - 导数概念的非线性概率空间优化问题的 Frank-Wolfe 算法以及最小方差组合选择问题的正则性条件分析,并通过数值验证验证了理论结果。
Abstract
This article focuses on a class of distributionally robust optimization (DRO)
problems where, unlike the growing body of the literature, the objective
function is potentially non-linear in the distribution. Existing methods to
optimize nonlinear functions in probability space use the F