Minimax analysis of stochastic problems
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Cites work
- scientific article; zbMATH DE number 439951 (Why is no real title available?)
- scientific article; zbMATH DE number 193918 (Why is no real title available?)
- A numerical method for solving stochastic programming problems with moment constraints on a distribution function
- Convex Analysis
- Introduction to Stochastic Programming
- Moments of non-negative mass
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- On sharpness of Tchebycheff-type inequalities
- Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
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Cited in
(73)- Distributionally robust optimization with infinitely constrained ambiguity sets
- Stochastic global optimization using tangent minorants for Lipschitz functions
- Generalized Gauss inequalities via semidefinite programming
- A generalized optimization method for night vision devices design considering stochastic external surveillance conditions
- Distributionally robust resource planning under binomial demand intakes
- Distributionally robust chance constrained problems under general moments information
- Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball
- Uncertainties in minimax stochastic programs
- An Approximation Scheme for Distributionally Robust Nonlinear Optimization
- Robust two-stage stochastic linear optimization with risk aversion
- On distributionally robust multiperiod stochastic optimization
- Adjustable robust optimization via Fourier-Motzkin elimination
- Asymptotic behavior of solutions: an application to stochastic NLP
- Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
- Optimal insurance under maxmin expected utility
- Multi-echelon supply chains with lead times and uncertain demands. A lot-sizing formulation and solutions
- The value of the right distribution in stochastic programming with application to a Newsvendor problem
- The minimax approach to stochastic programming and an illustrative application
- Distributionally robust joint chance-constrained programming with Wasserstein metric
- Scenario MIN-MAX optimization and the risk of empirical costs
- A framework for optimization under ambiguity
- Epi-regularization of risk measures
- A data-driven approach for a class of stochastic dynamic optimization problems
- Data-driven distributionally robust risk parity portfolio optimization
- A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty
- Ambiguous risk constraints with moment and unimodality information
- An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information
- A new distributionally robust reward-risk model for portfolio optimization
- Stochastic programming approach to optimization under uncertainty
- Robust defibrillator deployment under cardiac arrest location uncertainty via row-and-column generation
- Solution approaches to linear fractional programming and its stochastic generalizations using second order cone approximations
- Risk-averse stochastic programming and distributionally robust optimization via operator splitting
- Robust optimization with ambiguous stochastic constraints under mean and dispersion information
- Distributionally robust joint chance constraints with second-order moment information
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- Necessary and sufficient conditions for Pareto efficiency in robust multiobjective optimization
- Gain-loss pricing under ambiguity of measure
- Stochastic methods for solving minimax problems
- Robust assortment optimization using worst-case CVaR under the multinomial logit model
- Asymptotics of minimax stochastic programs
- Optimization of chance constraint programming with sum-of-fractional objectives â an application to assembled printed circuit board problem
- A measure approximation for distributionally robust PDE-constrained optimization problems
- On two-stage convex chance constrained problems
- Convergence analysis for distributionally robust optimization and equilibrium problems
- Ambiguous chance constrained problems and robust optimization
- Finding minimum volume circumscribing ellipsoids using generalized copositive programming
- Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
- On the heavy-tail behavior of the distributionally robust newsvendor
- Models for minimax stochastic linear optimization problems with risk aversion
- Explainable subgradient tree boosting for prescriptive analytics in operations management
- On deterministic reformulations of distributionally robust joint chance constrained optimization problems
- Worst-case distribution analysis of stochastic programs
- Likelihood robust optimization for data-driven problems
- Stochastic decomposition method for two-stage distributionally robust linear optimization
- Incorporating model uncertainty into optimal insurance contract design
- Optimized Bonferroni approximations of distributionally robust joint chance constraints
- Minimax decision rules for planning under uncertainty: drawbacks and remedies
- Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
- Asymptotics of the optimal value of SAA with AMIS on minimax stochastic programs
- Data-driven distributionally robust supplier selection and order allocation problems considering carbon emissions
- Distributionally robust optimization. A review on theory and applications
- Sharing the value‐at‐risk under distributional ambiguity
- scientific article; zbMATH DE number 7625189 (Why is no real title available?)
- Applying the minimax criterion in stochastic recourse programs
- A Bayesian risk approach to data-driven stochastic optimization: formulations and asymptotics
- Two-stage distributionally robust optimization model for warehousing-transportation problem under uncertain environment
- An approximation scheme for distributionally robust PDE-constrained optimization
- Online learning based risk-averse stochastic MPC of constrained linear uncertain systems
- An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures
- Uncertainty quantification of the 4th kind; optimal posterior accuracy-uncertainty tradeoff with the minimum enclosing ball
- Frameworks and results in distributionally robust optimization
- Robust and distributionally robust optimization models for linear support vector machine
- Distributionally robust expectation inequalities for structured distributions
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