Minimizing buffered probability of exceedance by progressive hedging
DOI10.1007/S10107-019-01462-4zbMATH Open1440.90036OpenAlexW3000187566WikidataQ126379537 ScholiaQ126379537MaRDI QIDQ2189449FDOQ2189449
R. T. Rockafellar, Stan Uryasev
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
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quantilesconditional value-at-riskprogressive hedging algorithmprobability of failuresuperquantilesbuffered probability of exceedanceprobability of exceedancebuffered probability of failureconvex stochastic programming problems
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Cited In (6)
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- A randomized progressive hedging algorithm for stochastic variational inequality
- 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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