Algorithms for the solution of stochastic dynamic minimax problems
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Publication:1908531
DOI10.1007/BF01300861zbMATH Open0844.90059OpenAlexW2073791497MaRDI QIDQ1908531FDOQ1908531
Saeb El Hachem, Michèle Breton
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
dynamic minimax problemmultistage stochastic decision problemsprojected sub-gradient and bundle methods
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Cited In (24)
- 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?)
- Robust two-stage stochastic linear optimization with risk aversion
- Title not available (Why is that?)
- Data-driven distributionally robust risk parity portfolio optimization
- Stochastic Decomposition Method for Two-Stage Distributionally Robust Linear 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
- Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets
- Problèmes de minimax partiel
- Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs
- Adjustable Robust Optimization via Fourier–Motzkin Elimination
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- 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
- Frameworks and results in distributionally robust optimization
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