Quantitative stability analysis for minimax distributionally robust risk optimization (Q2118071): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Quantitative stability analysis for minimax distributionally robust risk optimization	scientific article

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scholarly article

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Quantitative stability analysis for minimax distributionally robust risk optimization (English)

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Mathematical Programming. Series A. Series B

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publication date

22 March 2022

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full work available at URL

https://eprints.soton.ac.uk/425755/1/Pichler_Xu_MPB.pdf

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zbMATH Keywords

distortion risk measure

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\( \zeta \)-ball

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Wasserstein ball

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quantitative stability analysis

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MaRDI profile type

MaRDI publication profile

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Measure Theory and Probability Theory

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Convex analysis and measurable multifunctions

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Discrete approximation of two-stage stochastic and distributionally robust linear complementarity problems

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Kusuoka representation of higher order dual risk measures

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Statistical estimation of composite risk functionals and risk optimization problems

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Stability in stochastic programming with recourse. Contaminated distributions

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Scenario reduction in stochastic programming

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Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

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Minimax Theorems

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On the rate of convergence in Wasserstein distance of the empirical measure

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On Choosing and Bounding Probability Metrics

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Foundations of quantization for probability distributions

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Estimated stochastic programs with chance constraints

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Distributionally robust shortfall risk optimization model and its approximation

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<i>K</i>-Adaptability in Two-Stage Robust Binary Programming

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$K$-adaptability in two-stage distributionally robust binary programming

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Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls

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Scenario reduction algorithms in stochastic programming

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A note on scenario reduction for two-stage stochastic programs

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On Rates of Convergence for Stochastic Optimization Problems Under Non–Independent and Identically Distributed Sampling

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Sur la fonction d'appui des ensembles convexes dans un espace localement convexe

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The Cutting-Plane Method for Solving Convex Programs

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Tree approximation for discrete time stochastic processes: a process distance approach

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Stability analysis of stochastic programs with second order dominance constraints

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Discrete Approximation and Quantification in Distributionally Robust Optimization

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A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization

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On Convergence of Kernel Learning Estimators

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A space quantization method for numerical integration

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Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th international symposium on stochastic programming (SPXI), Vienna, Austria, August 27--31, 2007

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Multistage Stochastic Optimization

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From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties

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Ambiguity in portfolio selection

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The natural Banach space for version independent risk measures

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Minimal representation of insurance prices

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A Survey of the S-Lemma

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Quantitative Stability in Stochastic Programming: The Method of Probability Metrics

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On Kusuoka Representation of Law Invariant Risk Measures

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Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems

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Distributionally Robust Convex Optimization

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Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods

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Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints

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Quantitative stability analysis of stochastic quasi-variational inequality problems and applications

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Data-driven risk-averse stochastic optimization with Wasserstein metric

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Distributionally robust joint chance constraints with second-order moment information

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10107-018-1347-4

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Sitelinks

Mathematics(1 entry)

mardi Publication:2118071

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