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math.OC2018
Exploiting Partial Correlations in Distributionally Robust Optimization
Divya Padmanabhan, Karthik Natarajan, Karthyek R. A. Murthy
In this paper, we identify partial correlation information structures that allow for simpler reformulations in evaluating the maximum expected value of mixed integer linear program…
math.ST2018
On the heavy-tail behavior of the distributionally robust newsvendor
Bikramjit Das, Anulekha Dhara, Karthik Natarajan
Since the seminal work of Scarf (1958) [A min-max solution of an inventory problem, Studies in the Mathematical Theory of Inventory and Production, pages 201-209] on the newsvendor…