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Ambiguity Sets

In the spirit of reproducible research, this repository contains all code necessary to reproduce the experiments from the paper

Near-Optimal Ambiguity Sets for Distributionally Robust Optimization by V. Gupta, Management Science (to appear).

Implementations leverage the JuMPeR interface (https://github.com/IainNZ/JuMPeR.jl), and hence has an external dependency. Since this code is necessarily static, this dependency might create some minor inconsitencies if interfaces change in the future.

Citation

If you find this package useful, please consider citing the above paper as:

@article{gupta2015near,
  title={Near-Optimal Ambiguity Sets for Distributionally Robust Optimization},
  author={Gupta, Vishal},
  journal={Accepted in Management Science},
  year={2018}
}

Licensing

Copyright (C) 2018 University of Southern California

Author: Vishal Gupta

If you use any portion of the software, I'd appreciate a quick note telling me the application. As an academic, I like hearing about when my work is used and when it (hopefully) has impact.

This software is freely available under the terms of the USC license USC-RL v1.0. Commercial users should contact the author directly.

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

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