Lectures on stochastic programming. Modeling and theory.
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- Modeling time-dependent randomness in stochastic dual dynamic programming
- Chance-constrained economic dispatch with renewable energy and storage
- Piecewise static policies for two-stage adjustable robust linear optimization
- Scenario reduction for stochastic programs with conditional value-at-risk
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- A note on sample complexity of multistage stochastic programs
- Stochastic learning in multi-agent optimization: communication and payoff-based approaches
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- A unified framework for stochastic optimization
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Interchangeability principle and dynamic equations in risk averse stochastic programming
- Risk-averse model predictive control
- Convex and stochastic optimization
- Statistical inference of semidefinite programming
- Spectral risk measures: the risk quadrangle and optimal approximation
- Sparse approximation of multilinear problems with applications to kernel-based methods in UQ
- Risk-averse stochastic path detection
- Improved bounds in stochastic matching and optimization
- Decomposability and time consistency of risk averse multistage programs
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- The information value and the uncertainties in two-stage uncertain programming with recourse
- Uncertainty quantification with risk measures in production planning
- An adaptive local reduced basis method for solving PDEs with uncertain inputs and evaluating risk
- Distributionally robust simple integer recourse
- Strong convexity in risk-averse stochastic programs with complete recourse
- Portfolio optimization with entropic value-at-risk
- Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
- Multistage stochastic programming approach for joint optimization of job scheduling and material ordering under endogenous uncertainties
- Resource allocation for contingency planning: an inexact proximal bundle method for stochastic optimization
- Relative utility bounds for empirically optimal portfolios
- Black-box combinatorial optimization using models with integer-valued minima
- Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
- Inexact stochastic subgradient projection method for stochastic equilibrium problems with nonmonotone bifunctions: application to expected risk minimization in machine learning
- Ergodic approach to robust optimization and infinite programming problems
- On the analysis of variance-reduced and randomized projection variants of single projection schemes for monotone stochastic variational inequality problems
- Regularized sample average approximation approach for two-stage stochastic variational inequalities
- A data-driven approach for a class of stochastic dynamic optimization problems
- Central limit theorem and sample complexity of stationary stochastic programs
- Distributionally robust optimal control and MDP modeling
- Bounds for probabilistic programming with application to a blend planning problem
- On continuity in risk-averse bilevel stochastic linear programming with random lower level objective function
- Convergence analysis of sample average approximation for a class of stochastic nonlinear complementarity problems: from two-stage to multistage
- Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
- Superquantiles at work: machine learning applications and efficient subgradient computation
- KDE distributionally robust portfolio optimization with higher moment coherent risk
- Controlling the Kelvin force: basic strategies and applications to magnetic drug targeting
- Chance-constrained sets approximation: a probabilistic scaling approach
- Distributionally robust optimization. A review on theory and applications
- Existence of solutions for a class of bilevel stochastic linear programs
- On Monte-Carlo methods in convex stochastic optimization
- Order assignment and scheduling under processing and distribution time uncertainty
- Generalized adaptive partition-based method for two-stage stochastic linear programs: geometric oracle and analysis
- Quantitative stability of the ERM formulation for a class of stochastic linear variational inequalities
- Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
- Generalized adaptive partition-based method for two-stage stochastic linear programs with fixed recourse
- Dynamic probabilistic constraints under continuous random distributions
- A study of data-driven distributionally robust optimization with incomplete joint data under finite support
- Robustness of stochastic programs with endogenous randomness via contamination
- Distributionally robust optimization with moment ambiguity sets
- Peril, prudence and planning as risk, avoidance and worry
- Sample approximations of bilevel stochastic programming problems with probabilistic and quantile criteria
- Quantitative stability analysis for minimax distributionally robust risk optimization
- Process-based risk measures and risk-averse control of discrete-time systems
- Problem-based optimal scenario generation and reduction in stochastic programming
- On rates of convergence for sample average approximations in the almost sure sense and in mean
- Two-stage linear decision rules for multi-stage stochastic programming
- Stochastic Lipschitz dynamic programming
- Dynamic games of social distancing during an epidemic: analysis of asymmetric solutions
- A primal-dual algorithm for risk minimization
- Reference points and learning
- Stochastic approximation method using diagonal positive-definite matrices for convex optimization with fixed point constraints
- Adaptive primal-dual stochastic gradient method for expectation-constrained convex stochastic programs
- Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Iteratively sampling scheme for stochastic optimization with variable number sample path
- Frameworks and results in distributionally robust optimization
- On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints
- Testing facility location and dynamic capacity planning for pandemics with demand uncertainty
- Capacity planning for effective cohorting of hemodialysis patients during the coronavirus pandemic: a case study
- Signal recovery by stochastic optimization
- Quantitative analysis for a class of two-stage stochastic linear variational inequality problems
- On stochastic auctions in risk-averse electricity markets with uncertain supply
- Entropy based risk measures
- Martingale characterizations of risk-averse stochastic optimization problems
- Goal scoring, coherent loss and applications to machine learning
- Approximations of semicontinuous functions with applications to stochastic optimization and statistical estimation
- Proximal statistic: asymptotic normality
- Distributionally robust polynomial chance-constraints under mixture ambiguity sets
- Construction of confidence absorbing sets using statistical methods
- New extremal principles with applications to stochastic and semi-infinite programming
- On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
- Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
- Statistical robustness in utility preference robust optimization models
- Stochastic joint homecare service and capacity planning with nested decomposition approaches
- A robust optimization approach with probe-able uncertainty
- Spare parts inventory routing problem with transshipment and substitutions under stochastic demands
- A new convergent hybrid learning algorithm for two-stage stochastic programs
- Robust optimization for the vehicle routing problem with multiple deliverymen
- Asymptotic behaviors of semidefinite programming with a covariance perturbation
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