Multistage stochastic optimization
DOI10.1007/978-3-319-08843-3zbMATH Open1317.90220OpenAlexW622935592MaRDI QIDQ2875804FDOQ2875804
Authors: Alois Pichler, Georg Ch. Pflug
Publication date: 12 August 2014
Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-08843-3
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- Risk-averse two-stage stochastic program with distributional ambiguity
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- On distributionally robust multiperiod stochastic optimization
- Quantitative stability analysis of stochastic mathematical programs with vertical complementarity constraints
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- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
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- From empirical observations to tree models for stochastic optimization: convergence properties
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Arbitrage conditions for electricity markets with production and storage
- The value of the right distribution in stochastic programming with application to a Newsvendor problem
- A review on ambiguity in stochastic portfolio optimization
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- Estimating processes in adapted Wasserstein distance
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