Uncertainties in minimax stochastic programs
From MaRDI portal
Publication:3111134
DOI10.1080/02331934.2010.532214zbMath1231.90301MaRDI QIDQ3111134
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
modelling uncertainty; estimated moments; minimax stochastic programs; stability with respect to input
90C47: Minimax problems in mathematical programming
90C31: Sensitivity, stability, parametric optimization
90C15: Stochastic programming
Related Items
Game Theoretical Approach for Reliable Enhanced Indexation, Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity, Variational Theory for Optimization under Stochastic Ambiguity, Stability and Continuity in Robust Optimization, Ambiguity in risk preferences in robust stochastic optimization, Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods, Distributionally robust optimization. A review on theory and applications, Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure, Asymptotic behavior of solutions: an application to stochastic NLP, Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints, Primal-Dual Algorithms for Optimization with Stochastic Dominance
Cites Work
- Applying the minimax criterion in stochastic recourse programs
- Worst-case distribution analysis of stochastic programs
- Inequalities for Stochastic Linear Programming Problems
- Stability in stochastic programming with recourse-estimated parameters
- Approximation Theorems of Mathematical Statistics
- Ambiguous Risk Measures and Optimal Robust Portfolios
- Robust stochastic programming with uncertain probabilities
- Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
- Characterization of the extreme points of a class of special polyhedra
- A Characterization of Stability in Linear Programming
- Robust Solutions to Uncertain Semidefinite Programs
- Bounds for Two-Stage Stochastic Programs with Fixed Recourse
- Variational Analysis
- On a Class of Minimax Stochastic Programs
- Minimax analysis of stochastic problems
- The minimax approach to stochastic programming and an illustrative application
- Extreme Points of Certain Sets of Probability Measures, with Applications
- Ambiguity in portfolio selection
- The General Moment Problem, A Geometric Approach
- Stochastic Programs with Recourse II: On the Continuity of the Objective
- More bounds on the expectation of a convex function of a random variable
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
