New directions in stochastic optimisation. Abstracts from the workshop held August 19--25, 2018

DOI10.4171/OWR/2018/38MaRDI QIDQ2331902zbMATH OpenFDO

Authors

Publication date 31 October 2019

Published in Oberwolfach Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/OWR/2018/38

Mathematics Subject Classification ID

Collections of abstracts of lectures (00B05) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06) Stochastic programming (90C15)

Review text

Summary: Recent work in stochastic programming draws on interaction with Algebraic and Combinatorial Models, Numerical Analysis of PDEs, Risk Analysis, Mathematical Equilibrium, Minimax, and Stochastic Games. For the first time ever, the workshop brought together scholars from these fields to exchange experience and identify promising topics for future research.

Recommendations

• Lectures on stochastic programming. Modeling and theory
• Lectures on stochastic programming. Modeling and theory.
• Introduction to stochastic programming.
• Lectures on Stochastic Programming
• scientific article; zbMATH DE number 4204117

Cites work

• Coherent measures of risk
• Convex measures of risk and trading constraints
• Existence and optimality conditions for risk-averse PDE-constrained optimization
• Inexact objective function evaluations in a trust-region algorithm for PDE-constrained optimization under uncertainty
• Optimization with PDE Constraints
• Risk-averse PDE-constrained optimization using the conditional value-at-risk

Cited in

(2)

• Mathematical challenges in stochastic networks. Abstracts from the workshop held October 17th -- October 23rd, 2010.
• Modeling, Stochastic Control, Optimization, and Applications

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