Distributionally Robust Optimization with Markovian Data
Mengmeng Li 1 Tobias Sutter 1 Daniel Kuhn 1
Abstract responding to the training samples and solves the resulting
empirical risk minimization problem (Shapiro et al., 2014).
We study a stochastic program where the proba- Fuelled by modern applications in machine learning, how-
bility distribution of the uncertain problem param- ever, ther ...


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