Convergent bounds for stochastic programs with expected value constraints
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Cites work
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- A tight upper bound for the expectation of a convex function of a multivariate random variable
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- Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
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- Scenario reduction in stochastic programming
- Scenario tree generation for multiperiod financial optimization of optimal discretization
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- Stability of Multistage Stochastic Programs
- Stochastic Convex Programming: Relatively Complete Recourse and Induced Feasibility
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Stochastic convex programming: Singular multipliers and extended duality, singular multipliers and duality
- Stochastic convex programming: basic duality
- Stochastic quasigradient methods for optimization of discrete event systems
- Stochastic two-stage programming
- The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints
- The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
- Threshold accepting approach to improve bound-based approximations for portfolio optimization
- Variance reduction in sample approximations of stochastic programs
Cited in
(7)- Epi‐consistency of convex stochastic programs
- Bound-based decision rules in multistage stochastic programming
- Computation of convex bounds for present value functions with random payments
- An infeasible-point subgradient method using adaptive approximate projections
- Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
- Stochastic Programming Using Expected Value Bounds
- Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
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