Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance (Q6109914): Difference between revisions

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Property / DOI: 10.1137/22m1537746 / rank
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Latest revision as of 18:32, 30 December 2024

scientific article; zbMATH DE number 7707121
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English
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
scientific article; zbMATH DE number 7707121

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    Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance (English)
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    4 July 2023
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    robust multiperiod stochastic optimization
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    sensitivity analysis
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    (adapted) Wasserstein distance
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    optimal stopping
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