2 papers
math.OC2026
Posterior and Likelihood Sensitivity in Bayesian Distributionally Robust Optimization
Jun-ya Gotoh, Andrew E. B. Lim, Michael Jong Kim
We introduce the notion of worst-case posterior and worst-case likelihood sensitivity. These measure, respectively, the sensitivity of the expected cost to worst-case perturbations…
math.OC2026
Robustness Measures in Distributionally Robust Optimization
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO…