Multistage stochastic optimization
From MaRDI portal
Recommendations
- A distance for multistage stochastic optimization models
- Multistage multivariate nested distance: an empirical analysis.
- Multi-stage stochastic optimization: the distance between stochastic scenario processes
- Modeling with stochastic programming.
- Stability and scenario trees for multistage stochastic programs
Cited in
(only showing first 100 items - show all)- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- Incorporating model uncertainty into optimal insurance contract design
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- A review on ambiguity in stochastic portfolio optimization
- Multistage portfolio optimization with multivariate dominance constraints
- Primal-dual hybrid gradient method for distributionally robust optimization problems
- Quantitative stability analysis of stochastic mathematical programs with vertical complementarity constraints
- Time-consistent, risk-averse dynamic pricing
- Distributionally robust shortfall risk optimization model and its approximation
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- A parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problems
- Risk aversion in imperfect natural gas markets
- Risk management for forestry planning under uncertainty in demand and prices
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- The decision rule approach to optimization under uncertainty: methodology and applications
- Arbitrage conditions for electricity markets with production and storage
- The value of the right distribution in stochastic programming with application to a Newsvendor problem
- Computation of optimal transport and related hedging problems via penalization and neural networks
- Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
- Scenario generation by selection from historical data
- Risk-averse stochastic programming and distributionally robust optimization via operator splitting
- Two-stage stochastic standard quadratic optimization
- Data-driven stochastic optimization for distributional ambiguity with integrated confidence region
- Bi-objective multistage stochastic linear programming
- Estimating processes in adapted Wasserstein distance
- Quantitative stability analysis for minimax distributionally robust risk optimization
- A stability result for linear Markovian stochastic optimization problems
- Approximation of martingale couplings on the line in the adapted weak topology
- A rolling horizon approach for a multi-stage stochastic fixed-charge transportation problem with transshipment
- Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
- The nested Sinkhorn divergence to learn the nested distance
- Frameworks and results in distributionally robust optimization
- Risk neutral reformulation approach to risk averse stochastic programming
- Quantile-based risk sharing with heterogeneous beliefs
- Martingale characterizations of risk-averse stochastic optimization problems
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- Fundamental properties of process distances
- All adapted topologies are equal
- Evaluation of scenario reduction algorithms with nested distance
- Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
- On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
- On dealing with strategic and tactical decision levels in forestry planning under uncertainty
- Multiscale stochastic optimization: modeling aspects and scenario generation
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Valuation and pricing of electricity delivery contracts: the producer's view
- On distributionally robust multiperiod stochastic optimization
- Multi-stage stochastic optimization: the distance between stochastic scenario processes
- A quantitative comparison of risk measures
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- Competitive facility location with random attractiveness
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- On complexity of multistage stochastic programs under heavy tailed distributions
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- Multistage robust discrete optimization via quantified integer programming
- Probability equivalent level of value at risk and higher-order expected shortfalls
- Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints
- Optimal insurance under maxmin expected utility
- From empirical observations to tree models for stochastic optimization: convergence properties
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures
- Nonlinear stochastic programming-with a case study in continuous switching
- Cluster Lagrangean decomposition in multistage stochastic optimization
- Discrete Multistage Optimization and Hierarchical Market
- Stability and approximation of stochastical optimisation problems
- Distributionally robust stochastic programming
- Causal transport in discrete time and applications
- Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
- Causal transport plans and their Monge-Kantorovich problems
- Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
- Risk-averse two-stage stochastic program with distributional ambiguity
- Cournot-Nash equilibrium and optimal transport in a dynamic setting
- Mathematical foundations of distributionally robust multistage optimization
- Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems
- Optimality Conditions and Moreau–Yosida Regularization for Almost Sure State Constraints
- Discrete-time risk-aware optimal switching with non-adapted costs
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- On feasibility of sample average approximation solutions
- Robust spectral risk optimization when information on risk spectrum is incomplete
- Optimality conditions for convex stochastic optimization problems in Banach spaces with almost sure state constraints
- Existence and approximation of continuous Bayesian Nash equilibria in games with continuous type and action spaces
- A robust posterior preference multi-response optimization approach in multistage processes
- Discrete approximation and quantification in distributionally robust optimization
- Extended mean field control problems: stochastic maximum principle and transport perspective
- Stochastic multi-stage optimization. At the crossroads between discrete time stochastic control and stochastic programming
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Query minimization under stochastic uncertainty
- On the safe side of stochastic programming: bounds and approximations
- Comparing stage-scenario with nodal formulation for multistage stochastic problems
- From scenarios to conditional scenarios in two‐stage stochastic MILP problems
- Heterogeneous gradient flows in the topology of fibered optimal transport
- Safe, learning-based MPC for highway driving under Lane-change uncertainty: a distributionally robust approach
- Adapted topologies and higher rank signatures
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling
- Dynamic Cournot-Nash equilibrium: the non-potential case
- On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach
- Distributionally robust portfolio optimization with second-order stochastic dominance based on Wasserstein metric
- scientific article; zbMATH DE number 7733443 (Why is no real title available?)
- Risk measures under model uncertainty: a Bayesian viewpoint
- Distributionally robust joint chance-constrained programming: Wasserstein metric and second-order moment constraints
This page was built for publication: Multistage stochastic optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2875804)
