Distributionally Robust Stochastic Dual Dynamic Programming
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Cites work
- scientific article; zbMATH DE number 53570 (Why is no real title available?)
- A multicut algorithm for two-stage stochastic linear programs
- Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
- Controlling risk and demand ambiguity in newsvendor models
- Cut sharing for multistage stochastic linear programs with interstage dependency
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Data-driven robust optimization
- Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
- Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
- Distributionally Robust Convex Optimization
- Distributionally robust SDDP
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Distributionally robust optimization with infinitely constrained ambiguity sets
- Distributionally robust stochastic programming
- Evaluating policies in risk-averse multi-stage stochastic programming
- Exact converging bounds for stochastic dual dynamic programming via Fenchel duality
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- Likelihood robust optimization for data-driven problems
- Models for minimax stochastic linear optimization problems with risk aversion
- Multi-stage stochastic optimization applied to energy planning
- On distributionally robust chance-constrained linear programs
- On duality theory of conic linear problems.
- On solving multistage stochastic programs with coherent risk measures
- On the convergence of stochastic dual dynamic programming and related methods
- Quantifying distributional model risk via optimal transport
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Robust sample average approximation
- Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
- Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
Cited in
(24)- Distributionally Robust Two-Stage Stochastic Programming
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Distributionally robust SDDP
- Distributionally robust optimization
- Incorporating convex risk measures into multistage stochastic programming algorithms
- A data-driven approach for a class of stochastic dynamic optimization problems
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems
- Coordinating international humanitarian inventory by stochastic dual dynamic programming
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Decomposition methods for Wasserstein-based data-driven distributionally robust problems
- Multi-stage distributionally robust convex stochastic optimization with Bayesian-type ambiguity sets
- Fifty years of power systems optimization
- Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
- Distributionally robust stochastic programming
- A distributionally robust approach to a class of three-stage stochastic linear programs
- Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets
- Robust Dual Dynamic Programming
- Worst-case-expectation approach to optimization under uncertainty
- scientific article; zbMATH DE number 7733446 (Why is no real title available?)
- Frameworks and results in distributionally robust optimization
- Robust Markov Decision Processes with Data-Driven, Distance-Based Ambiguity Sets
- Stochastic dual dynamic programming and its variants: a review
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