A general solution for robust linear programs with distortion risk constraints - Bazovkin, Pavel; Mosler, Karl (Annals of operations research, 2015)
Keywords: Algorithms; Business and Management; Combinatorics; Mathematical optimization; Mathematical research; Operations research; Operations Research/Decision Theory; Optimization; Random variables; Restrictions; Studies; Theory of Computation; Violations; Robust optimization; 90C25; Multivariate risk measure; 52B11; Weighted-mean trimmed regions; 62H30; Robust classification; 90C15; Coherent risk measure; Data depth; Algorithm