Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
From MaRDI portal
Publication:2028833
DOI10.1016/j.ejor.2020.03.065zbMath1487.90506OpenAlexW3015437889MaRDI QIDQ2028833
Publication date: 3 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.03.065
Stochastic programming (90C15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01)
Related Items
Frameworks and results in distributionally robust optimization ⋮ Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance ⋮ Product-line planning under uncertainty ⋮ Constructing branching trees of geostatistical simulations ⋮ A multistage distributionally robust optimization approach to water allocation under climate uncertainty ⋮ Bounds for Multistage Mixed-Integer Distributionally Robust Optimization ⋮ Unnamed Item ⋮ Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation ⋮ Distributionally robust optimization. A review on theory and applications ⋮ A differentiable path-following method to compute subgame perfect equilibria in stationary strategies in robust stochastic games and its applications
Cites Work
- A comment on ``Computational complexity of stochastic programming problems
- Primal and dual linear decision rules in stochastic and robust optimization
- Stochastic optimal control. The discrete time case
- Multi-stage stochastic optimization applied to energy planning
- Adjustable robust solutions of uncertain linear programs
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- Interchangeability principle and dynamic equations in risk averse stochastic programming
- A survey of adjustable robust optimization
- New variants of bundle methods
- Risk neutral and risk averse stochastic dual dynamic programming method
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Stochastic dual dynamic integer programming
- Coherent Measures of Risk
- Linear Programming under Uncertainty
- Distributionally Robust Convex Optimization
- Optimality of Affine Policies in Multistage Robust Optimization
- The Cutting-Plane Method for Solving Convex Programs
- Galerkin methods in dynamic stochastic programming
- Robust Stochastic Approximation Approach to Stochastic Programming
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Variational Analysis
- Distributionally Robust Stochastic Programming
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Optimization of Convex Risk Functions
- Stationary Ordinal Utility and Impatience
- Robust Dynamic Programming
- Rectangular Sets of Probability Measures
- Stochastic finance. An introduction in discrete time
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
