On Conditional Risk Assessments in Scenario Optimization

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Cites work

scientific article; zbMATH DE number 3829019 (Why is no real title available?)
scientific article; zbMATH DE number 7626803 (Why is no real title available?)
A General Scenario Theory for Nonconvex Optimization and Decision Making
A Scenario Approach for Non-Convex Control Design
A provisioning problem with stochastic payments
A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
An Approach to Robust Bayesian Analysis for Multidimensional Parameter Spaces
Bounds for the difference between median and mean of beta and negative binomial distributions
Classification with guaranteed probability of error
Consistency of the scenario approach
FAST—Fast Algorithm for the Scenario Technique
Interval predictor models: identification and reliability
Introduction to the Scenario Approach
Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
On a class of interval predictor models with universal reliability
On the Connection Between Compression Learning and Scenario Based Single-Stage and Cascading Optimization Problems
On the Road Between Robust Optimization and the Scenario Approach for Chance Constrained Optimization Problems
On the quantification of aleatory and epistemic uncertainty using sliced-normal distributions
On the sample size of random convex programs with structured dependence on the uncertainty
Performance Bounds for the Scenario Approach and an Extension to a Class of Non-Convex Programs
Probability theory. Translated from the German by Robert B. Burckel
RANDOM PREDICTOR MODELS FOR RIGOROUS UNCERTAINTY QUANTIFICATION
Random convex programs with L₁-regularization: sparsity and generalization
Randomized Strategies for Probabilistic Solutions of Uncertain Feasibility and Optimization Problems
Randomized methods for design of uncertain systems: sample complexity and sequential algorithms
Randomized solutions to convex programs with multiple chance constraints
Risk and complexity in scenario optimization
Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
Robust Bayesian analysis: sensitivity to the prior
Sample average approximation method for chance constrained programming: Theory and applications
Scenario MIN-MAX optimization and the risk of empirical costs
The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
The Scenario Approach to Robust Control Design
The scenario approach for stochastic model predictive control with bounds on closed-loop constraint violations
Uncertain convex programs: randomized solutions and confidence levels
Wait-and-judge scenario optimization

Cited in

(8)

Risk and complexity in scenario optimization
Scenario based optimisation over uncertain system identification models
On efficient WOWA optimization for decision support under risk
Parametric scenario optimization under limited data: a distributionally robust optimization view
On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis
Modality for scenario analysis and maximum likelihood allocation
Conditional Risk Mappings
Bias, exploitation and proxies in scenario-based risk minimization

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