Convergence analysis for distributionally robust optimization and equilibrium problems
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Cites work
- scientific article; zbMATH DE number 4037624 (Why is no real title available?)
- scientific article; zbMATH DE number 3257962 (Why is no real title available?)
- A distributional interpretation of robust optimization
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- Applying the minimax criterion in stochastic recourse programs
- Computing a nearest symmetric positive semidefinite matrix
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- Distributionally robust optimization and its tractable approximations
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Lectures on Stochastic Programming
- Minimax Theorems
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- Models for minimax stochastic linear optimization problems with risk aversion
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- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Robust Markov Decision Processes
- Robust Portfolio Selection Problems
- Robust game theory
- Stability analysis of stochastic programs with second order dominance constraints
- Stochastic mathematical programs with equilibrium constraints, modelling and sample average approximation
- The minimax approach to stochastic programming and an illustrative application
- Variational Analysis in Sobolev andBVSpaces
- Worst-case conditional value-at-risk with application to robust portfolio management
Cited in
(44)- scientific article; zbMATH DE number 5618680 (Why is no real title available?)
- On distributionally robust optimization problems with \(k\)-th order stochastic dominance constraints induced by full random quadratic recourse
- Data-driven robust resource allocation with monotonic cost functions
- Mathematical programs with distributionally robust chance constraints: statistical robustness, discretization and reformulation
- Distributionally robust chance constrained optimization for economic dispatch in renewable energy integrated systems
- A distributionally robust optimization approach for two-stage facility location problems
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- A survey of decision making and optimization under uncertainty
- Distributionally robust chance constrained problems under general moments information
- Discrete approximation and quantification in distributionally robust optimization
- A vehicle routing problem with distribution uncertainty in deadlines
- Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- Variational theory for optimization under stochastic ambiguity
- Convergence analysis for mathematical programs with distributionally robust chance constraint
- Discrete approximation and convergence analysis for a class of decision-dependent two-stage stochastic linear programs
- Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
- Multi-stage distributionally robust optimization with risk aversion
- Robustness to incorrect system models in stochastic control
- Lopsided convergence: an extension and its quantification
- Globalized distributionally robust optimization problems under the moment-based framework
- Distributionally robust parameter identification of a time-delay dynamical system with stochastic measurements
- On solving two-stage distributionally robust disjunctive programs with a general ambiguity set
- Wasserstein distributionally robust chance-constrained program with moment information
- A modified exchange algorithm for distributional robust optimization and applications in risk management
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning
- Quantitative Stability of Two-Stage Linear Second-Order Conic Stochastic Programs with Full Random Recourse
- Distributionally robust variational inequalities: relaxation, quantification and discretization
- Stochastic decomposition method for two-stage distributionally robust linear optimization
- Distributionally robust optimization with correlated data from vector autoregressive processes
- Stability and continuity in robust optimization
- Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
- Distributionally robust optimization. A review on theory and applications
- Decision bounding problems for two-stage distributionally robust stochastic bilevel optimization
- Distributionally robust stochastic variational inequalities
- Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
- Quantitative stability and empirical approximation of risk-averse models induced by two-stage stochastic programs with full random recourse
- Robustness to approximations and model learning in MDPs and POMDPs
- Two-stage distributionally robust noncooperative games: existence of Nash equilibrium and its application to Cournot-Nash competition
- Bootstrap robust prescriptive analytics
- Quantitative stability analysis for minimax distributionally robust risk optimization
- Distributionally robust equilibrium for continuous games: Nash and Stackelberg models
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