Multistage stochastic optimization
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Cited in
(only showing first 100 items - show all)- On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach
- Causal transport in discrete time and applications
- Causal transport plans and their Monge-Kantorovich problems
- On feasibility of sample average approximation solutions
- Equivalence between time consistency and nested formula
- On the number of stages in multistage stochastic programs
- The distortion principle for insurance pricing: properties, identification and robustness
- Two-stage stochastic standard quadratic optimization
- Multi-stage stochastic optimization: the distance between stochastic scenario processes
- Multistage portfolio optimization with multivariate dominance constraints
- Primal-dual hybrid gradient method for distributionally robust optimization problems
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Risk-averse two-stage stochastic program with distributional ambiguity
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Quantile-based risk sharing with heterogeneous beliefs
- Fundamental properties of process distances
- Approximations of multi-period liability values by simple formulas
- Distributionally robust optimization
- Optimization problems governed by systems of PDEs with uncertainties
- Robust spectral risk optimization when information on risk spectrum is incomplete
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Denseness of biadapted Monge mappings
- Stability and approximation of stochastical optimisation problems
- Discretization and quantification for distributionally robust optimization with decision-dependent ambiguity sets
- Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
- Discrete approximation and quantification in distributionally robust optimization
- Risk management for forestry planning under uncertainty in demand and prices
- Bi-objective multistage stochastic linear programming
- Quantitative stability analysis of stochastic mathematical programs with vertical complementarity constraints
- Time-consistent, risk-averse dynamic pricing
- On distributionally robust multiperiod stochastic optimization
- Estimating processes in adapted Wasserstein distance
- Stochastic dual dynamic programming for optimal power flow problems under uncertainty
- Measures of stochastic non-dominance in portfolio optimization
- Sampling methods for multi-stage robust optimization problems
- 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
- Optimal insurance under maxmin expected utility
- All adapted topologies are equal
- Convergence and bound computation for chance constrained distributionally robust models using sample approximation
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- On dealing with strategic and tactical decision levels in forestry planning under uncertainty
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- From empirical observations to tree models for stochastic optimization: convergence properties
- Arbitrage conditions for electricity markets with production and storage
- The value of the right distribution in stochastic programming with application to a Newsvendor problem
- A review on ambiguity in stochastic portfolio optimization
- Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
- General duality and dual attainment for adapted transport
- Optimality conditions for convex stochastic optimization problems in Banach spaces with almost sure state constraints
- Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
- Wasserstein convergence rates of increasingly concentrating probability measures
- On efficient matheuristic algorithms for multi-period stochastic facility location-assignment problems
- Stochastic decomposition applied to large-scale hydro valleys management
- Wasserstein perturbations of Markovian transition semigroups
- Valuation and pricing of electricity delivery contracts: the producer's view
- Discrete-time risk-aware optimal switching with non-adapted costs
- Extended mean field control problems: stochastic maximum principle and transport perspective
- Computation of optimal transport and related hedging problems via penalization and neural networks
- Approximation of martingale couplings on the line in the adapted weak topology
- On the safe side of stochastic programming: bounds and approximations
- Data-driven risk-averse stochastic optimization with Wasserstein metric
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
- Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
- Risk aversion in imperfect natural gas markets
- Discrete approximation and convergence analysis for a class of decision-dependent two-stage stochastic linear programs
- The Wasserstein space of stochastic processes
- Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems
- Risk-adaptive approaches to stochastic optimization: a survey
- Risk-averse stochastic programming and distributionally robust optimization via operator splitting
- A quantitative comparison of risk measures
- One Dimensional Martingale Rearrangement Couplings
- Comparing stage-scenario with nodal formulation for multistage stochastic problems
- Competitive facility location with random attractiveness
- Risk neutral reformulation approach to risk averse stochastic programming
- Evaluation of scenario reduction algorithms with nested distance
- Probability equivalent level of value at risk and higher-order expected shortfalls
- Harvest planning under uncertainty for ocean-based salmon aquaculture
- A Bayesian approach to data-driven multi-stage stochastic optimization
- The McCormick martingale optimal transport
- Time-causal VAE: robust financial time series generator
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- Nonlinear stochastic programming-with a case study in continuous switching
- The nested Sinkhorn divergence to learn the nested distance
- Distributionally robust mean-CVaR portfolio optimization with cardinality constraint
- On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
- Cluster Lagrangean decomposition in multistage stochastic optimization
- Heterogeneous gradient flows in the topology of fibered optimal transport
- A parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problems
- Multistage robust discrete optimization via quantified integer programming
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- From scenarios to conditional scenarios in two‐stage stochastic MILP problems
- Convergence of adapted empirical measures on \(\mathbb{R}^d\)
- A stability result for linear Markovian stochastic optimization problems
- A gradient-based method for joint chance-constrained optimization with continuous distributions
- A robust posterior preference multi-response optimization approach in multistage processes
- On complexity of multistage stochastic programs under heavy tailed distributions
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