Statistical robustness in utility preference robust optimization models
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Publication:2235161
DOI10.1007/s10107-020-01555-5zbMath1478.90066OpenAlexW3082177584MaRDI QIDQ2235161
Publication date: 20 October 2021
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-020-01555-5
Minimax problems in mathematical programming (90C47) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15)
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Preference Robust Modified Optimized Certainty Equivalent ⋮ Preference Robust Optimization for Choice Functions on the Space of CDFs ⋮ Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models ⋮ Distributionally robust expected residual minimization for stochastic variational inequality problems ⋮ Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete ⋮ Existence and Approximation of Continuous Bayesian Nash Equilibria in Games with Continuous Type and Action Spaces ⋮ Statistical robustness of two-stage stochastic variational inequalities ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory
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