{"id":"https://openalex.org/W2807838242","doi":"https://doi.org/10.1137/16m1075910","title":"Distributionally Robust Optimization with Principal Component Analysis","display_name":"Distributionally Robust Optimization with Principal Component Analysis","publication_year":2018,"publication_date":"2018-01-01","ids":{"openalex":"https://openalex.org/W2807838242","doi":"https://doi.org/10.1137/16m1075910","mag":"2807838242"},"language":"en","primary_location":{"id":"doi:10.1137/16m1075910","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1075910","pdf_url":null,"source":{"id":"https://openalex.org/S928796702","display_name":"SIAM Journal on Optimization","issn_l":"1052-6234","issn":["1052-6234","1095-7189"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://hdl.handle.net/2429/69402","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005809877","display_name":"Jianqiang Cheng","orcid":"https://orcid.org/0000-0003-3358-9176"},"institutions":[{"id":"https://openalex.org/I138006243","display_name":"University of Arizona","ror":"https://ror.org/03m2x1q45","country_code":"US","type":"education","lineage":["https://openalex.org/I138006243"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Jianqiang Cheng","raw_affiliation_strings":["Department of Systems and Industrial Engineering, University of Arizona, Tucson, AZ 85721"],"affiliations":[{"raw_affiliation_string":"Department of Systems and Industrial Engineering, University of Arizona, Tucson, AZ 85721","institution_ids":["https://openalex.org/I138006243"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5076806779","display_name":"Richard Li-Yang Chen","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Richard Li-Yang Chen","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5075501406","display_name":"Habib N. Najm","orcid":"https://orcid.org/0000-0002-6338-7260"},"institutions":[{"id":"https://openalex.org/I192454743","display_name":"Sandia National Laboratories California","ror":"https://ror.org/058m7ey48","country_code":"US","type":"facility","lineage":["https://openalex.org/I1330989302","https://openalex.org/I1330989302","https://openalex.org/I192454743","https://openalex.org/I198811213","https://openalex.org/I198811213","https://openalex.org/I4210104735"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Habib N. Najm","raw_affiliation_strings":["Sandia National Laboratories, Livermore, CA 94551"],"affiliations":[{"raw_affiliation_string":"Sandia National Laboratories, Livermore, CA 94551","institution_ids":["https://openalex.org/I192454743"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068770852","display_name":"Ali P\u0131nar","orcid":"https://orcid.org/0000-0002-2641-7344"},"institutions":[{"id":"https://openalex.org/I192454743","display_name":"Sandia National Laboratories California","ror":"https://ror.org/058m7ey48","country_code":"US","type":"facility","lineage":["https://openalex.org/I1330989302","https://openalex.org/I1330989302","https://openalex.org/I192454743","https://openalex.org/I198811213","https://openalex.org/I198811213","https://openalex.org/I4210104735"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ali Pinar","raw_affiliation_strings":["Sandia National Laboratories, Livermore, CA 94551"],"affiliations":[{"raw_affiliation_string":"Sandia National Laboratories, Livermore, CA 94551","institution_ids":["https://openalex.org/I192454743"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5070944838","display_name":"Cosmin Safta","orcid":"https://orcid.org/0000-0001-7219-7736"},"institutions":[{"id":"https://openalex.org/I192454743","display_name":"Sandia National Laboratories California","ror":"https://ror.org/058m7ey48","country_code":"US","type":"facility","lineage":["https://openalex.org/I1330989302","https://openalex.org/I1330989302","https://openalex.org/I192454743","https://openalex.org/I198811213","https://openalex.org/I198811213","https://openalex.org/I4210104735"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Cosmin Safta","raw_affiliation_strings":["Sandia National Laboratories, Livermore, CA 94551"],"affiliations":[{"raw_affiliation_string":"Sandia National Laboratories, Livermore, CA 94551","institution_ids":["https://openalex.org/I192454743"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5027375769","display_name":"Jean\u2010Paul Watson","orcid":"https://orcid.org/0000-0001-6026-8875"},"institutions":[{"id":"https://openalex.org/I4210104735","display_name":"Sandia National Laboratories","ror":"https://ror.org/01apwpt12","country_code":"US","type":"facility","lineage":["https://openalex.org/I1330989302","https://openalex.org/I198811213","https://openalex.org/I4210104735"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jean-Paul Watson","raw_affiliation_strings":["Sandia National Laboratories, Albuquerque, NM 87185"],"affiliations":[{"raw_affiliation_string":"Sandia National Laboratories, Albuquerque, NM 87185","institution_ids":["https://openalex.org/I4210104735"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":6,"corresponding_author_ids":["https://openalex.org/A5005809877"],"corresponding_institution_ids":["https://openalex.org/I138006243"],"apc_list":null,"apc_paid":null,"fwci":0.6619,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.73946012,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"28","issue":"2","first_page":"1817","last_page":"1841"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12709","display_name":"Optimization and Mathematical Programming","score":0.9947999715805054,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9932000041007996,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/semidefinite-programming","display_name":"Semidefinite programming","score":0.7752913236618042},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.7196807861328125},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7140403389930725},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6585594415664673},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.5218959450721741},{"id":"https://openalex.org/keywords/relaxation","display_name":"Relaxation (psychology)","score":0.5093361139297485},{"id":"https://openalex.org/keywords/principal-component-analysis","display_name":"Principal component analysis","score":0.48270606994628906},{"id":"https://openalex.org/keywords/approximation-algorithm","display_name":"Approximation algorithm","score":0.4640212655067444},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.45179933309555054},{"id":"https://openalex.org/keywords/moment","display_name":"Moment (physics)","score":0.4344833493232727}],"concepts":[{"id":"https://openalex.org/C101901036","wikidata":"https://www.wikidata.org/wiki/Q2269096","display_name":"Semidefinite programming","level":2,"score":0.7752913236618042},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.7196807861328125},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7140403389930725},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6585594415664673},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.5218959450721741},{"id":"https://openalex.org/C2776029896","wikidata":"https://www.wikidata.org/wiki/Q3935810","display_name":"Relaxation (psychology)","level":2,"score":0.5093361139297485},{"id":"https://openalex.org/C27438332","wikidata":"https://www.wikidata.org/wiki/Q2873","display_name":"Principal component analysis","level":2,"score":0.48270606994628906},{"id":"https://openalex.org/C148764684","wikidata":"https://www.wikidata.org/wiki/Q621751","display_name":"Approximation algorithm","level":2,"score":0.4640212655067444},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.45179933309555054},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.4344833493232727},{"id":"https://openalex.org/C77805123","wikidata":"https://www.wikidata.org/wiki/Q161272","display_name":"Social psychology","level":1,"score":0.0},{"id":"https://openalex.org/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/16m1075910","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1075910","pdf_url":null,"source":{"id":"https://openalex.org/S928796702","display_name":"SIAM Journal on Optimization","issn_l":"1052-6234","issn":["1052-6234","1095-7189"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Optimization","raw_type":"journal-article"},{"id":"pmh:oai:repository.arizona.edu:10150/629158","is_oa":false,"landing_page_url":"https://repository.arizona.edu/bitstream/10150/629158/1/16m1075910.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400271","display_name":"UA Campus Repository (The University of Arizona)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I138006243","host_organization_name":"University of Arizona","host_organization_lineage":["https://openalex.org/I138006243"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"1841","raw_type":"Article"},{"id":"pmh:oai:circle.library.ubc.ca:2429/69402","is_oa":true,"landing_page_url":"http://hdl.handle.net/2429/69402","pdf_url":null,"source":{"id":"https://openalex.org/S4377196297","display_name":"cIRcle (University of British Columbia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I141945490","host_organization_name":"University of British Columbia","host_organization_lineage":["https://openalex.org/I141945490"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Moving Image"}],"best_oa_location":{"id":"pmh:oai:circle.library.ubc.ca:2429/69402","is_oa":true,"landing_page_url":"http://hdl.handle.net/2429/69402","pdf_url":null,"source":{"id":"https://openalex.org/S4377196297","display_name":"cIRcle (University of British Columbia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I141945490","host_organization_name":"University of British Columbia","host_organization_lineage":["https://openalex.org/I141945490"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Moving Image"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1741288133","display_name":null,"funder_award_id":"Sandia","funder_id":"https://openalex.org/F4320332369","funder_display_name":"National Nuclear Security Administration"},{"id":"https://openalex.org/G288067973","display_name":null,"funder_award_id":"0003525","funder_id":"https://openalex.org/F4320306084","funder_display_name":"U.S. Department of Energy"},{"id":"https://openalex.org/G3821936529","display_name":null,"funder_award_id":"Sandia","funder_id":"https://openalex.org/F4320306084","funder_display_name":"U.S. Department of Energy"},{"id":"https://openalex.org/G471976139","display_name":null,"funder_award_id":"DE-NA-000352","funder_id":"https://openalex.org/F4320338291","funder_display_name":"Sandia National Laboratories"},{"id":"https://openalex.org/G6012051226","display_name":null,"funder_award_id":"DE-NA-0003525","funder_id":"https://openalex.org/F4320337547","funder_display_name":"Laboratory Directed Research and Development"},{"id":"https://openalex.org/G687101433","display_name":null,"funder_award_id":"E-NA-0003525","funder_id":"https://openalex.org/F4320338291","funder_display_name":"Sandia National Laboratories"},{"id":"https://openalex.org/G7166948679","display_name":null,"funder_award_id":"DE-NA-0003525","funder_id":"https://openalex.org/F4320332369","funder_display_name":"National Nuclear Security Administration"},{"id":"https://openalex.org/G7410743818","display_name":null,"funder_award_id":"DE-NA-0003525","funder_id":"https://openalex.org/F4320306084","funder_display_name":"U.S. Department of Energy"},{"id":"https://openalex.org/G7642092277","display_name":null,"funder_award_id":"Sandia","funder_id":"https://openalex.org/F4320337547","funder_display_name":"Laboratory Directed Research and Development"},{"id":"https://openalex.org/G805931733","display_name":null,"funder_award_id":"DE-NA-0003525","funder_id":"https://openalex.org/F4320338291","funder_display_name":"Sandia National Laboratories"},{"id":"https://openalex.org/G8247923341","display_name":null,"funder_award_id":"Development (LDRD)","funder_id":"https://openalex.org/F4320338291","funder_display_name":"Sandia National Laboratories"}],"funders":[{"id":"https://openalex.org/F4320306084","display_name":"U.S. Department of Energy","ror":"https://ror.org/01bj3aw27"},{"id":"https://openalex.org/F4320332369","display_name":"National Nuclear Security Administration","ror":"https://ror.org/03sk1we31"},{"id":"https://openalex.org/F4320337547","display_name":"Laboratory Directed Research and Development","ror":"https://ror.org/01e41cf67"},{"id":"https://openalex.org/F4320338291","display_name":"Sandia National Laboratories","ror":"https://ror.org/01apwpt12"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":28,"referenced_works":["https://openalex.org/W760153864","https://openalex.org/W1647779468","https://openalex.org/W1693992350","https://openalex.org/W1968355947","https://openalex.org/W1981776996","https://openalex.org/W1993599556","https://openalex.org/W1995670718","https://openalex.org/W2000587848","https://openalex.org/W2004026774","https://openalex.org/W2006041100","https://openalex.org/W2033487550","https://openalex.org/W2041817517","https://openalex.org/W2055319245","https://openalex.org/W2067108585","https://openalex.org/W2067796483","https://openalex.org/W2089468765","https://openalex.org/W2092660864","https://openalex.org/W2099506495","https://openalex.org/W2120804502","https://openalex.org/W2125417745","https://openalex.org/W2131116400","https://openalex.org/W2136914524","https://openalex.org/W2153473676","https://openalex.org/W2156168813","https://openalex.org/W2344697147","https://openalex.org/W2963450292","https://openalex.org/W3106992008","https://openalex.org/W3125373499"],"related_works":["https://openalex.org/W2005678164","https://openalex.org/W175006096","https://openalex.org/W2389198916","https://openalex.org/W4310823612","https://openalex.org/W2180949474","https://openalex.org/W2026665790","https://openalex.org/W10711191","https://openalex.org/W2552756754","https://openalex.org/W2014375465","https://openalex.org/W1983760655"],"abstract_inverted_index":{"Distributionally":[0],"robust":[1,17,160],"optimization":[2,18],"(DRO)":[3],"is":[4],"widely":[5],"used":[6],"because":[7],"it":[8],"offers":[9],"a":[10,77,115,184],"way":[11],"to":[12,81,186],"overcome":[13],"the":[14,21,27,49,111,118,126,129,142,145,167,175],"conservativeness":[15],"of":[16,23,48,103,117,144,151,174,189],"without":[19],"requiring":[20],"specificity":[22],"stochastic":[24],"programming.":[25],"On":[26],"computational":[28],"side,":[29],"many":[30],"practical":[31],"DRO":[32,83],"instances":[33],"can":[34],"be":[35],"equivalently":[36],"(or":[37],"approximately)":[38],"formulated":[39],"as":[40],"semidefinite":[41],"programming":[42],"(SDP)":[43],"problems":[44,61,84,166],"via":[45],"conic":[46],"duality":[47],"moment":[50],"problem.":[51],"However,":[52],"despite":[53],"being":[54],"theoretically":[55],"solvable":[56],"in":[57,62,105,149,192],"polynomial":[58],"time,":[59],"SDP":[60],"practice":[63],"are":[64],"computationally":[65],"challenging":[66],"and":[67,121,132,154,163],"quickly":[68],"become":[69],"intractable":[70],"with":[71,85,183],"increasing":[72],"problem":[73,120,131],"sizes.":[74],"We":[75,108],"propose":[76],"new":[78],"approximation":[79,90,113,147,170],"method":[80,91,148],"solve":[82],"moment-based":[86],"ambiguity":[87],"sets.":[88],"Our":[89],"relies":[92],"on":[93,125],"principal":[94,176],"component":[95],"analysis":[96],"(PCA)":[97],"for":[98,158],"optimal":[99],"lower":[100],"dimensional":[101],"representation":[102],"variability":[104],"random":[106],"samples.":[107],"show":[109],"that":[110],"PCA":[112,134,169],"yields":[114,178],"relaxation":[116],"original":[119,130],"derive":[122],"theoretical":[123],"bounds":[124],"gap":[127],"between":[128],"its":[133],"approximation.":[135],"Furthermore,":[136],"an":[137],"extensive":[138],"numerical":[139],"study":[140],"shows":[141],"strength":[143],"proposed":[146,168],"terms":[150],"solution":[152],"quality":[153],"runtime.":[155],"As":[156],"examples,":[157],"distributionally":[159],"conditional":[161],"value-at-risk":[162],"risk-averse":[164],"production-transportation":[165],"using":[171],"only":[172],"50%":[173],"components":[177],"near-optimal":[179],"solutions":[180],"(within":[181],"1%)":[182],"one":[185],"two":[187],"order":[188],"magnitude":[190],"reduction":[191],"computation":[193],"time.":[194]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1}],"updated_date":"2026-04-10T15:06:20.359241","created_date":"2025-10-10T00:00:00"}
