Distributionally Robust Optimization with Correlated Data from Vector Autoregressive Processes

Dou, Xialiang, Anitescu, Mihai

arXiv.org Machine Learning 

Government License: The submitted manuscript has been created by UChicago Argonne, LLC, Operator of Argonne National Laboratory ("Argonne"). Argonne, a U.S. Department of Energy Office of Science laboratory, is operated under Contract No. DE-AC02-06CH11357. The U.S. Government retains for itself, and others acting on its behalf, a paid-up nonexclusive, irrevocable worldwide license in said article to reproduce, prepare derivative works, distribute copies to the public, and perform publicly and display publicly, by or on behalf of the Government. The Department of Energy will provide public access to these results of federally sponsored research in accordance with the DOE Public Access Plan.

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