Statistical robustness in utility preference robust optimization models
From MaRDI portal
Publication:2235161
DOI10.1007/S10107-020-01555-5zbMATH Open1478.90066OpenAlexW3082177584MaRDI QIDQ2235161FDOQ2235161
Authors: Huifu Xu, Shao-Yan Guo 
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
Recommendations
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- scientific article; zbMATH DE number 7668294
- Preference robust models in multivariate utility-based shortfall risk minimization
- Optimization with reference-based robust preference constraints
- Optimal robust insurance with a finite uncertainty set
Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Minimax problems in mathematical programming (90C47)
Cites Work
- Ordinal regression revisited: Multiple criteria ranking using a set of additive value functions
- Variational Analysis
- Title not available (Why is that?)
- Relations between Weak and Uniform Convergence of Measures with Applications
- Robust Statistics
- A General Qualitative Definition of Robustness
- Robust Statistics
- Theory of games and economic behavior.
- Maxmin expected utility with non-unique prior
- Scenario reduction algorithms in stochastic programming
- Stochastic finance. An introduction in discrete time.
- Discrete Choice Methods with Simulation
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Ambiguity and the Bayesian paradigm
- Prospect Theory: An Analysis of Decision under Risk
- Title not available (Why is that?)
- Robustness and sensitivity analysis of risk measurement procedures
- Comparative and qualitative robustness for law-invariant risk measures
- Lectures on stochastic programming. Modeling and theory.
- Decision making with incomplete information
- State of the Art—Utility Assessment Methods
- Qualitative and infinitesimal robustness of tail-dependent statistical functionals
- Ambiguity in risk preferences in robust stochastic optimization
- A definition of qualitative robustness for general point estimators, and examples
- Stability analysis of stochastic programs with second order dominance constraints
- Domains of weak continuity of statistical functionals with a view toward robust statistics
- Weak continuity of risk functionals with applications to stochastic programming
- Robust decision making using a general utility set
- Optimization with reference-based robust preference constraints
Cited In (18)
- Mathematical programs with distributionally robust chance constraints: statistical robustness, discretization and reformulation
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Robust spectral risk optimization when information on risk spectrum is incomplete
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Data-based prediction under uncertainty: CDF-quantile distributions and info-gap robustness
- Distributionally robust expected residual minimization for stochastic variational inequality problems
- Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models
- Data-driven distributionally robust multiproduct pricing problems under pure characteristics demand models
- Optimal robust insurance with a finite uncertainty set
- A distributionally robust area under curve maximization model
- Title not available (Why is that?)
- Existence and approximation of continuous Bayesian Nash equilibria in games with continuous type and action spaces
- Preference Robust Modified Optimized Certainty Equivalent
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- Preference robust models in multivariate utility-based shortfall risk minimization
- Optimization with reference-based robust preference constraints
- Statistical robustness of two-stage stochastic variational inequalities
- Title not available (Why is that?)
This page was built for publication: Statistical robustness in utility preference robust optimization models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2235161)
