Mathematical Foundations of Distributionally Robust Multistage Optimization

DOI10.1137/21M1390517zbMath1481.90242arXiv2101.02498OpenAlexW3216079433MaRDI QIDQ5013589

Alois Pichler, Alexander Shapiro

Publication date: 1 December 2021

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.02498

zbMATH Keywords

stochastic gamesmultistage stochastic programmingdynamic equationsdistributional robustnessrectangularityconditional risk measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Sensitivity, stability, parametric optimization (90C31) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Robustness in mathematical programming (90C17)

Related Items (9)

Frameworks and results in distributionally robust optimization ⋮ Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance ⋮ A multistage distributionally robust optimization approach to water allocation under climate uncertainty ⋮ Bayesian Distributionally Robust Optimization ⋮ Bounds for Multistage Mixed-Integer Distributionally Robust Optimization ⋮ Unnamed Item ⋮ Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets ⋮ Distributionally robust optimal control and MDP modeling ⋮ Distributionally robust modeling of optimal control

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