Minimizing buffered probability of exceedance by progressive hedging

DOI10.1007/S10107-019-01462-4MaRDI QIDQ2189449zbMATH OpenOpenAlexWikidataFDO

Authors Stan Uryasev, R. T. Rockafellar

Publication date 15 June 2020

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-019-01462-4

zbMATH Keywords

quantilesconditional value-at-riskprogressive hedging algorithmprobability of failuresuperquantilesbuffered probability of exceedanceprobability of exceedancebuffered probability of failureconvex stochastic programming problems

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 3588383 (Why is no real title available?)
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Cardinality of upper average and its application to network optimization
• Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
• Convex Analysis
• Estimation and asymptotics for buffered probability of exceedance
• Generalized deviations in risk analysis
• Maximization of AUC and buffered AUC in binary classification
• Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
• Monotone Sharpe ratios and related measures of investment performance
• Partial sample average approximation method for chance constrained problems
• Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
• Random variables, monotone relations, and convex analysis
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Soft margin support vector classification as buffered probability minimization
• Solving Lagrangian variational inequalities with applications to stochastic programming
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Solving stochastic programming problems with risk measures by progressive hedging
• Stochastic variational inequalities: single-stage to multistage
• Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
• Superquantile/CVaR risk measures: second-order theory

Cited in

(10)

• Higher-moment buffered probability
• Optimization problems governed by systems of PDEs with uncertainties
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• A randomized progressive hedging algorithm for stochastic variational inequality
• Risk-adaptive approaches to stochastic optimization: a survey
• Distributionally robust fractional optimization of probability of exceedance
• Buffered-ranking intervals for virtual profit efficiency analysis
• A new method of reliability optimization in the classical problem statement
• Progressive decoupling of linkages in optimization and variational inequalities with elicitable convexity or monotonicity
• Special issue: On the interface between optimization and probability

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