On distributionally robust multiperiod stochastic optimization
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Publication:2355207
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Cited in
(25)- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- The value of the right distribution in stochastic programming with application to a Newsvendor problem
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- The nested Sinkhorn divergence to learn the nested distance
- Frameworks and results in distributionally robust optimization
- Controlling risk and demand ambiguity in newsvendor models
- Closed-form optimal portfolios of distributionally robust mean-CVaR problems with unknown mean and variance
- Partially observable multistage stochastic programming
- Robust and distributionally robust optimization models for linear support vector machine
- Solving some multistage robust decision problems with huge implicitly defined scenario trees
- Robust stochastic programming with uncertain probabilities
- Robust stochastic maximum principle for multi-model worst case optimization
- Distributionally Robust Stochastic Dual Dynamic Programming
- Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
- Discrete approximation and quantification in distributionally robust optimization
- Variational theory for optimization under stochastic ambiguity
- Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty
- Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling
- A Bayesian approach to data-driven multi-stage stochastic optimization
- Distributionally robust optimization
- Scenario tree reduction via Wasserstein barycenters
- Bicausal optimal transport for SDEs with irregular coefficients
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