Lectures on stochastic programming. Modeling and theory
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distributionally robust optimizationmodels with probabilistic constraintsmultistage modelsnumerical methodsrisk-averse optimizationstochastic programmingtwo-stage models
Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Stochastic programming (90C15)
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- Noisy zeroth-order optimization for non-smooth saddle point problems
- An inexact restoration-nonsmooth algorithm with variable accuracy for stochastic nonsmooth convex optimization problems in machine learning and stochastic linear complementarity problems
- Limit laws for empirical optimal solutions in random linear programs
- New directions in stochastic optimisation. Abstracts from the workshop held August 19--25, 2018
- Computations in stochastic programming
- Sensitivity analysis of stochastic constraint and variational systems via generalized differentiation
- Modeling with stochastic programming.
- Lectures on stochastic programming. Modeling and theory.
- Introduction to stochastic programming.
- scientific article; zbMATH DE number 3874951 (Why is no real title available?)
- Problems in stochastic programming with probabilistic criteria
- Lectures on Stochastic Programming
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
- Wasserstein sensitivity of risk and uncertainty propagation
- scientific article; zbMATH DE number 7246284 (Why is no real title available?)
- Mean-Semivariance Policy Optimization via Risk-Averse Reinforcement Learning
- Risk-averse stochastic optimal control: an efficiently computable statistical upper bound
- Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
- An adaptive sampling augmented Lagrangian method for stochastic optimization with deterministic constraints
- Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
- Exploiting the polyhedral geometry of stochastic linear bilevel programming
- Capacity reservation for humanitarian relief: a logic-based benders decomposition method with subgradient cut
- Risk-averse optimization of reward-based coherent risk measures
- Multivariate expectile-based distribution: properties, Bayesian inference, and applications
- scientific article; zbMATH DE number 7733443 (Why is no real title available?)
- Discrete Optimal Transport with Independent Marginals is #P-Hard
- Mini-Batch Risk Forms
- A proximal trust-region method for nonsmooth optimization with inexact function and gradient evaluations
- Accelerating stochastic sequential quadratic programming for equality constrained optimization using predictive variance reduction
- Solving multistage stochastic linear programming via regularized linear decision rules: an application to hydrothermal dispatch planning
- First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
- The deepest event cuts in risk-averse optimization with application to radiation therapy design
- A Decomposition Algorithm for Two-Stage Stochastic Programs with Nonconvex Recourse Functions
- Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data
- Sample Size Estimates for Risk-Neutral Semilinear PDE-Constrained Optimization
- Random distortion risk measures
- Risk-averse optimization and control. Theory and methods
- A dynamical neural network approach for distributionally robust chance-constrained Markov decision process
- A sample robust optimal bidding model for a virtual power plant
- A new dual-based cutting plane algorithm for nonlinear adjustable robust optimization
- A combination technique for optimal control problems constrained by random PDEs
- Optimal experimental design: formulations and computations
- Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems
- A robust optimization approach for repairing and overhauling in a captive repair shop under uncertainty
- A Bayesian approach to data-driven multi-stage stochastic optimization
- Dynamic stochastic projection method for multistage stochastic variational inequalities
- Value of risk aversion in perishable products supply chain management
- A quasi-Newton subspace trust region algorithm for nonmonotone variational inequalities in adversarial learning over box constraints
- On risk evaluation and control of distributed multi-agent systems
- Sequential quadratic optimization for stochastic optimization with deterministic nonlinear inequality and equality constraints
- AN-SPS: adaptive sample size nonmonotone line search spectral projected subgradient method for convex constrained optimization problems
- Numerical solution of an optimal control problem with probabilistic and almost sure state constraints
- A sequential quadratic programming method with high-probability complexity bounds for nonlinear equality-constrained stochastic optimization
- Multistage stochastic programming for integrated network optimization in hurricane relief logistics and evacuation planning
- A stochastic Bregman golden ratio algorithm for non-Lipschitz stochastic mixed variational inequalities with application to resource share problems
- CVaR stochastic programming model for monotone stochastic tensor complementarity problem by using its penalized sample average approximation algorithm
- Stackelberg risk preference design
- A projected variable smoothing for weakly convex optimization and supremum functions
- A duality-guided proximal splitting method for robust constrained best approximation via convex semi-definite program reformulations
- A multi-horizon stochastic programming model for long-term disaster housing logistics planning
- Variable selection via thresholding
- An adaptive importance sampling algorithm for risk-averse optimization
- Active set-based inexact proximal bundle algorithm for stochastic quadratic programming
- Inexact zeroth-order nonsmooth and nonconvex stochastic composite optimization and applications
- The FA-SAA algorithm for CVaR optimization
- Variance-reduced first-order methods for deterministically constrained stochastic nonconvex optimization with strong convergence guarantees
- A prophet inequality based approach to the adaptive ProbeTopK problem
- Sequential sample average majorization-minimization
- Global optimization for the portfolio selection model with high-order moments
- Mitigating moral hazard in insurance contracts using risk preference design
- Consensus-based algorithms for stochastic optimization problems
- Multilevel quadrature formulae for the optimal control of random PDEs
- Risk-averse constrained blackbox optimization under mixed aleatory/epistemic uncertainties
- Optimal transport-based distributionally robust optimization with polynomial uncertainty
- Scenario consensus algorithms for solving stochastic and dynamic problems
- Quasi-Monte Carlo integration for feedback control under uncertainty
- Optimal control under uncertainty with joint chance state constraints: almost-everywhere bounds, variance reduction, and application to (bi)linear elliptic PDEs
- Piecewise affine decision rules for contextual chance-constrained stochastic programming
- ALSO-X \#: better convex approximations for distributionally robust chance constrained programs
- Central limit theorems for vector-valued composite functionals with smoothing and applications
- Intermediate gradient methods with relative inexactness
- Efficient PDE-constrained optimization under high-dimensional uncertainty using derivative-informed neural operators
- Distributional utility preference robust optimization models in multi-attribute decision making
- Robust satisficing model with Sinkhorn distance
- Randomized quasi-Monte Carlo methods for risk-averse stochastic optimization
- Optimality and robustness in path-planning under initial uncertainty
- A distributionally robust optimisation with joint chance constraints approach for location-routing problem in urban search and rescue operations
- Relax-and-fix and fix-and-optimise algorithms to solve an integrated network design problem for closing a supply chain with hybrid retailers/collection centres
- Incorporating convex risk measures into multistage stochastic programming algorithms
- Structure identification for partially linear partially concave models
- Data-driven ordering policies for target oriented newsvendor with censored demand
- On the valuation of legacy power production in liberalized markets via option-pricing
- Risk-sharing in energy communities
- Stochastic approach for price optimization problems with decision-dependent uncertainty
- Nonconvex stochastic Bregman proximal gradient method with application to deep learning
- Determinism versus uncertainty: examining the worst-case expected performance of data-driven policies
- Distributionally robust stochastic optimal control
- A modified Popov algorithm for non-monotone and non-Lipschitzian stochastic variational inequalities
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