Lectures on stochastic programming. Modeling and theory.
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(only showing first 100 items - show all)- Moderate Deviations and Invariance Principles for Sample Average Approximations
- On risk averse competitive equilibrium
- High-Dimensional Cost-constrained Regression Via Nonconvex Optimization
- Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization
- Causal transport in discrete time and applications
- On feasibility of sample average approximation solutions
- Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization
- Adaptive sequential sample average approximation for solving two-stage stochastic linear programs
- Risk-averse optimal control of semilinear elliptic PDEs
- Statistical robustness in utility preference robust optimization models
- An adaptive local reduced basis method for solving PDEs with uncertain inputs and evaluating risk
- Distributionally robust optimization with polynomial robust constraints
- Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
- A study of data-driven distributionally robust optimization with incomplete joint data under finite support
- Risk-averse optimization and control. Theory and methods
- Interchangeability principle and dynamic equations in risk averse stochastic programming
- Regularized decomposition of high-dimensional multistage stochastic programs with Markov uncertainty
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Quantification of risk in classical models of finance
- Robustness of stochastic programs with endogenous randomness via contamination
- Optimality conditions in variational form for non-linear constrained stochastic control problems
- Two-stage stochastic variational inequalities for Cournot-Nash equilibrium with risk-averse players under uncertainty
- Proximal statistic: asymptotic normality
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
- Asymptotic behaviors of semidefinite programming with a covariance perturbation
- Strong convexity in risk-averse stochastic programs with complete recourse
- The Inexact Parallel Splitting Augmented Lagrangian Algorithm for Multistage Stochastic Variational Inequalities
- Capacity planning for effective cohorting of hemodialysis patients during the coronavirus pandemic: a case study
- Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
- Optimality Conditions for Nonsmooth Nonconvex-Nonconcave Min-Max Problems and Generative Adversarial Networks
- Optimization problems governed by systems of PDEs with uncertainties
- Refinements of Kusuoka representations on \(L^\infty\)
- Stochastic approximation methods for the two-stage stochastic linear complementarity problem
- Simple subvector inference on sharp identified set in affine models
- Distributionally robust optimization with moment ambiguity sets
- Stochastic multilevel composition optimization algorithms with level-independent convergence rates
- Moderate deviations for stochastic variational inequalities
- A stochastic programming approach to the antibiotics time machine problem
- Conditional-value-at-risk estimation via reduced-order models
- New directions in stochastic optimisation. Abstracts from the workshop held August 19--25, 2018
- An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
- Approximate methods for solving chance-constrained linear programs in probability measure space
- Dynamic systems coupled with solutions of stochastic nonsmooth convex optimization
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- Gradient-free two-point methods for solving stochastic nonsmooth convex optimization problems with small non-random noises
- Distributionally robust polynomial chance-constraints under mixture ambiguity sets
- Envelope theorems for multistage linear stochastic optimization
- On the price of risk in a mean-risk optimization model
- Risk-averse model predictive control
- Convex and stochastic optimization
- Weak continuity of risk functionals with applications to stochastic programming
- Peril, prudence and planning as risk, avoidance and worry
- Process-based risk measures and risk-averse control of discrete-time systems
- Duality and approximation of stochastic optimal control problems under expectation constraints
- A survey of contextual optimization methods for decision-making under uncertainty
- Problem-based scenario generation by decomposing output distributions
- Construction of confidence absorbing sets using statistical methods
- Single machine scheduling with release dates: a distributionally robust approach
- A randomized progressive hedging algorithm for stochastic variational inequality
- On Monte-Carlo methods in convex stochastic optimization
- Reducing Conservatism in Robust Optimization
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Decomposability and time consistency of risk averse multistage programs
- Modeling time-dependent randomness in stochastic dual dynamic programming
- Sample approximations of bilevel stochastic programming problems with probabilistic and quantile criteria
- Moderate deviations for the optimal values of sample average approximation with adaptive multiple importance sampling
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Beyond Chance-Constrained Convex Mixed-Integer Optimization: A Generalized Calafiore-Campi Algorithm and the notion of $S$-optimization
- Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
- Stochastic RWA and lightpath rerouting in WDM networks
- Portfolio optimization with entropic value-at-risk
- Epi-regularization of risk measures
- Traffic signal control under stochastic traffic demand and vehicle turning via decentralized decomposition approaches
- On rates of convergence for sample average approximations in the almost sure sense and in mean
- A scalable bounding method for multistage stochastic programs
- Relative utility bounds for empirically optimal portfolios
- A data-driven approach for a class of stochastic dynamic optimization problems
- Codifferentials and Quasidifferentials of the Expectation of Nonsmooth Random Integrands and Two-Stage Stochastic Programming
- The value and cost of more stages in stochastic programming: a statistical analysis on a set of portfolio choice problems
- On stochastic auctions in risk-averse electricity markets with uncertain supply
- Approximation algorithms for stochastic combinatorial optimization problems
- Spectral risk measures: the risk quadrangle and optimal approximation
- Sparse approximation of multilinear problems with applications to kernel-based methods in UQ
- Data-driven distributionally robust risk parity portfolio optimization
- Finding search directions in quasi-Newton methods for minimizing a quadratic function subject to uncertainty
- Stochastic joint homecare service and capacity planning with nested decomposition approaches
- Risk-averse stochastic path detection
- Improved bounds in stochastic matching and optimization
- Consistency of Monte Carlo estimators for risk-neutral PDE-constrained optimization
- A new convergent hybrid learning algorithm for two-stage stochastic programs
- Scenario reduction for stochastic programs with conditional value-at-risk
- Estimation and asymptotics for buffered probability of exceedance
- Distributionally Robust Linear and Discrete Optimization with Marginals
- Order assignment and scheduling under processing and distribution time uncertainty
- On bounding the union probability using partial weighted information
- Variational theory for optimization under stochastic ambiguity
- Stochastic Lipschitz dynamic programming
- Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
- Zeroth-order stochastic compositional algorithms for risk-aware learning
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