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Robust Linear Programming and Optimal Control
Linear programming Convex optimization Model-predictive control
2015/7/10
We describe an efficient method for solving an optimal control problem that arises in robust model-predictive control. The problem is to design the input sequence that minimizes the peak tracking erro...
Pivotal estimation in high-dimensional regression via linear programming
Pivotal estimation high-dimensional regression inear programming
2013/4/28
We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge o...
Stochastic linear programming with a distortion risk constraint
Robust optimization weighted-mean trimmed regions central regions coherent risk measure spectral risk measure mean-risk portfolio.
2012/9/17
Linear optimization problems are investigated whose parametersare uncertain. We apply coherent distortion risk measures to capture the pos-sible violation of a restriction. Each risk constraint induce...