Algorithms for the solution of stochastic dynamic minimax problems
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Publication:1908531
DOI10.1007/BF01300861zbMATH Open0844.90059OpenAlexW2073791497MaRDI QIDQ1908531FDOQ1908531
Authors: Michèle Breton, Saeb El Hachem 
Publication date: 31 March 1996
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01300861
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Cited In (32)
- Robust portfolio selection based on a multi-stage scenario tree
- A scenario aggregation algorithm for the solution of stochastic dynamic minimax problems
- Distributionally robust resource planning under binomial demand intakes
- Title not available (Why is that?)
- Adjustable robust optimization via Fourier-Motzkin elimination
- Robust two-stage stochastic linear optimization with risk aversion
- Title not available (Why is that?)
- Algorithms for stochastic programs: The case of nonstochastic tenders
- Data-driven distributionally robust risk parity portfolio optimization
- Scenario relaxation algorithm for finite scenario-based min-max regret and min-max relative regret robust optimization
- Distributionally robust workforce scheduling in call centres with uncertain arrival rates
- Dynamic min-max problems
- Stochastic methods for solving minimax problems
- Robust optimal decisions with imprecise forecasts
- Convergence analysis for distributionally robust optimization and equilibrium problems
- Quantitative stability analysis for distributionally robust optimization with moment constraints
- Problèmes de minimax partiel
- Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs
- Stochastic decomposition method for two-stage distributionally robust linear optimization
- Information input for multi-stage stochastic programs
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- Construction of decision rules in stochastic approximation problems
- Partially observable multistage stochastic programming
- Distributionally robust optimization. A review on theory and applications
- An implementable SAA nonlinear Lagrange algorithm for constrained minimax stochastic optimization problems
- Applying the minimax criterion in stochastic recourse programs
- Title not available (Why is that?)
- Frameworks and results in distributionally robust optimization
- Pareto optimal solutions for stochastic dynamic programming problems via Monte Carlo simulation
- Minimax analysis of stochastic problems
- Distributionally robust optimization with infinitely constrained ambiguity sets
- A nonlinear Lagrange algorithm for stochastic minimax problems based on sample average approximation method
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