Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
From MaRDI portal
Publication:2666663
DOI10.3934/jimo.2020075zbMath1476.90220MaRDI QIDQ2666663
He Hu, Jie Jiang, Zhiping Chen
Publication date: 23 November 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020075
LPM; multistage stochastic programming; distributionally robust; quantitative stability; risk-averse
90C15: Stochastic programming
91B70: Stochastic models in economics
93E15: Stochastic stability in control theory
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Quantitative stability of full random two-stage stochastic programs with recourse
- Risk-averse dynamic programming for Markov decision processes
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- Scenario tree modeling for multistage stochastic programs
- Inference of statistical bounds for multistage stochastic programming problems
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Quantitative stability of multistage stochastic programs via calm modifications
- Non-separation in the mean -- lower-partial-moment portfolio optimization problem
- Structure of risk-averse multistage stochastic programs
- Multistage Stochastic Optimization
- Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
- Stability of Multistage Stochastic Programs
- Stability of multistage stochastic programs incorporating polyhedral risk measures
- On Stability of Multistage Stochastic Programs
- Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse
- On Solving Multistage Stochastic Programs with Coherent Risk Measures
- Discrete Approximation and Quantification in Distributionally Robust Optimization
- Polyhedral Risk Measures in Stochastic Programming
- Conditional Risk Mappings