Generalized decision rule approximations for stochastic programming via liftings (Q494331)

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Language	Label	Description	Also known as
English	Generalized decision rule approximations for stochastic programming via liftings	scientific article

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scholarly article

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Generalized decision rule approximations for stochastic programming via liftings (English)

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Angelos Georghiou

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Wolfram Wiesemann

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Mathematical Programming. Series A. Series B

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publication date

31 August 2015

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full work available at URL

http://hdl.handle.net/1721.1/103397

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Two-Stage Robust Network Flow and Design Under Demand Uncertainty

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On the power and limitations of affine policies in two-stage adaptive optimization

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Adjustable robust solutions of uncertain linear programs

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Lectures on Modern Convex Optimization

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Optimality of Affine Policies in Multistage Robust Optimization

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A Hierarchy of Near-Optimal Policies for Multistage Adaptive Optimization

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Introduction to Stochastic Programming

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A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs

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Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem

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Sublinear upper bounds for stochastic programs with recourse

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Introduction to Stochastic Programming

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Information Relaxations and Duality in Stochastic Dynamic Programs

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Multi-period portfolio optimization with linear control policies

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A Linear Decision-Based Approximation Approach to Stochastic Programming

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Uncertain Linear Programs: Extended Affinely Adjustable Robust Counterparts

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A piecewise linear upper bound on the network recourse function

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Computational complexity of stochastic programming problems

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Stochastic Programming Approximations Using Limited Moment Information, with Application to Asset Allocation

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Barycentric scenario trees in convex multistage stochastic programming

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On decision rules in stochastic programming

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A tight upper bound for the expectation of a convex function of a multivariate random variable

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Distributionally Robust Optimization and Its Tractable Approximations

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The Robust Capacitated Vehicle Routing Problem Under Demand Uncertainty

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An Efficient Method to Estimate the Suboptimality of Affine Controllers

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Generalized bounds for convex multistage stochastic programs.

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Primal and dual linear decision rules in stochastic and robust optimization

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Some results on the strength of relaxations of multilinear functions

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Approximate Dynamic Programming

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Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

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Variational Analysis

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Design of Affine Controllers via Convex Optimization

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Bounding multi-stage stochastic programs from above

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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/S10107-014-0789-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:494331

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