Uncertainties in minimax stochastic programs

DOI10.1080/02331934.2010.532214zbMATH Open1231.90301OpenAlexW1967331745MaRDI QIDQ3111134FDOQ3111134

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

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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)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Variational Analysis
• Minimax analysis of stochastic problems
• A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
• Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
• Robust Solutions to Uncertain Semidefinite Programs
• The General Moment Problem, A Geometric Approach
• Bounds for Two-Stage Stochastic Programs with Fixed Recourse
• Extreme Points of Certain Sets of Probability Measures, with Applications
• Inequalities for stochastic linear programming problems
• The minimax approach to stochastic programming and an illustrative application
• A Characterization of Stability in Linear Programming
• Applying the minimax criterion in stochastic recourse programs
• Ambiguous Risk Measures and Optimal Robust Portfolios
• On a Class of Minimax Stochastic Programs
• Robust stochastic programming with uncertain probabilities
• Ambiguity in portfolio selection
• Stability in stochastic programming with recourse-estimated parameters
• Stochastic Programs with Recourse II: On the Continuity of the Objective
• Characterization of the extreme points of a class of special polyhedra
• Worst-case distribution analysis of stochastic programs
• More bounds on the expectation of a convex function of a random variable

Cited In (18)

• Primal-dual algorithms for optimization with stochastic dominance
• Asymptotic behavior of solutions: an application to stochastic NLP
• Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
• Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
• Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
• Variational theory for optimization under stochastic ambiguity
• On a Class of Minimax Stochastic Programs
• Game Theoretical Approach for Reliable Enhanced Indexation
• Title not available (Why is that?)
• Robust stochastic programming with uncertain probabilities
• Ambiguity in risk preferences in robust stochastic optimization
• Quantitative stability analysis for distributionally robust optimization with moment constraints
• Information input for multi-stage stochastic programs
• Stability and continuity in robust optimization
• Distributionally robust optimization. A review on theory and applications
• Optimal and suboptimal solutions to stochastically uncertain problems of quintile optimization
• Applying the minimax criterion in stochastic recourse programs
• Minimax analysis of stochastic problems

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