Uncertainties in minimax stochastic programs

DOI10.1080/02331934.2010.532214MaRDI QIDQ3111134zbMATH OpenOpenAlexFDO

Authors Jitka Dupačová

Publication date 18 January 2012

Published in Optimization (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/18452/9059

zbMATH Keywords

modelling uncertaintyestimated momentsminimax stochastic programsstability with respect to input

Mathematics Subject Classification ID

Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Minimax problems in mathematical programming (90C47)

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Cites work

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Cited in

(18)

• Variational theory for optimization under stochastic ambiguity
• Stability and continuity in robust optimization
• Primal-dual algorithms for optimization with stochastic dominance
• Game Theoretical Approach for Reliable Enhanced Indexation
• Asymptotic behavior of solutions: an application to stochastic NLP
• Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
• Applying the minimax criterion in stochastic recourse programs
• Robust stochastic programming with uncertain probabilities
• Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
• Quantitative stability analysis for distributionally robust optimization with moment constraints
• Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
• Information input for multi-stage stochastic programs
• Distributionally robust optimization. A review on theory and applications
• Ambiguity in risk preferences in robust stochastic optimization
• Minimax analysis of stochastic problems
• scientific article; zbMATH DE number 3956818 (Why is no real title available?)
• On a Class of Minimax Stochastic Programs
• Optimal and suboptimal solutions to stochastically uncertain problems of quintile optimization

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