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math.OC2018
A survey of semidefinite programming approaches to the generalized problem of moments and their error analysis
Etienne de Klerk, Monique Laurent
The generalized problem of moments is a conic linear optimization problem over the convex cone of positive Borel measures with given support. It has a large variety of applications…
math.OC2018
Distributionally robust optimization with polynomial densities: theory, models and algorithms
Etienne de Klerk, Daniel Kuhn, Krzysztof Postek
In distributionally robust optimization the probability distribution of the uncertain problem parameters is itself uncertain, and a fictitious adversary, e.g., nature, chooses the…