Two-stage stochastic linear programs with incomplete information on uncertainty
From MaRDI portal
Publication:297173
DOI10.1016/j.ejor.2013.07.039zbMath1339.90252OpenAlexW1980251548MaRDI QIDQ297173
Fanwen Meng, Jie Sun, James S. K. Ang
Publication date: 24 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/39038
Related Items (17)
Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems ⋮ A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints ⋮ Quadratic two-stage stochastic optimization with coherent measures of risk ⋮ Empirical analysis and optimization of capital structure adjustment ⋮ A smoothing SAA algorithm for a portfolio choice model based on second-order stochastic dominance measures ⋮ A class of two-stage distributionally robust games ⋮ Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball ⋮ Mitigating the COVID‐19 pandemic through data‐driven resource sharing ⋮ Benders decomposition for the distributionally robust optimization of pricing and reverse logistics network design in remanufacturing systems ⋮ Robust two-stage stochastic linear optimization with risk aversion ⋮ Robust two-stage stochastic linear programs with moment constraints ⋮ A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure ⋮ Robust stochastic optimization with convex risk measures: a discretized subgradient scheme ⋮ A model of distributionally robust two-stage stochastic convex programming with linear recourse ⋮ Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity ⋮ Distributionally robust \(L_1\)-estimation in multiple linear regression ⋮ A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On general minimax theorems
- Convex measures of risk and trading constraints
- Robust optimization-methodology and applications
- Convex risk measures for portfolio optimization and concepts of flexibility
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Constructing Risk Measures from Uncertainty Sets
- Constructing Uncertainty Sets for Robust Linear Optimization
- From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization
- Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion
- A Linear Decision-Based Approximation Approach to Stochastic Programming
- Generalized Chebyshev Bounds via Semidefinite Programming
- State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
- The minimax approach to stochastic programming and an illustrative application
This page was built for publication: Two-stage stochastic linear programs with incomplete information on uncertainty
