Scenario MIN-MAX optimization and the risk of empirical costs
From MaRDI portal
Publication:3449574
DOI10.1137/130928546zbMATH Open1327.90197OpenAlexW2177752066MaRDI QIDQ3449574FDOQ3449574
Authors: A. Carè, Simone Garatti, M. C. Campi 
Publication date: 4 November 2015
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/86bcb769e56a8e170c43ff06d9a1406777185d21
Recommendations
- Risk and complexity in scenario optimization
- Uncertain convex programs: randomized solutions and confidence levels
- Models for minimax stochastic linear optimization problems with risk aversion
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Minimax analysis of stochastic problems
Cites Work
- Title not available (Why is that?)
- Optimization with Stochastic Dominance Constraints
- Uncertain convex programs: randomized solutions and confidence levels
- Distributionally robust joint chance constraints with second-order moment information
- The empirical behavior of sampling methods for stochastic programming
- A Sample Approximation Approach for Optimization with Probabilistic Constraints
- Lectures on Stochastic Programming
- Order Statistics
- The Scenario Approach to Robust Control Design
- Convex Approximations of Chance Constrained Programs
- Randomized methods for design of uncertain systems: sample complexity and sequential algorithms
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Assessing solution quality in stochastic programs
- Sample average approximation method for chance constrained programming: Theory and applications
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- Metric regularity and quantitative stability in stochastic programs with probabilistic constraints.
- Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
- Title not available (Why is that?)
- The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs
- A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
- Contributions to the theory of stochastic programming
- A sampling-and-discarding approach to chance-constrained optimization: feasibility and Optimality
- Concavity and efficient points of discrete distributions in probabilistic programming.
- An integer programming approach for linear programs with probabilistic constraints
- Convexity of chance constraints with independent random variables
- New Formulations for Optimization under Stochastic Dominance Constraints
- Scenario approximations of chance constraints
- Title not available (Why is that?)
- A Robust Optimization Approach to Inventory Theory
- Spline Functions in Data Analysis
- On numerical calculation of probabilities according to Dirichlet distribution
- Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
- Robust stochastic programming with uncertain probabilities
- Practical representations of incomplete probabilistic knowledge
- Variable-sample methods for stochastic optimization
- Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
- Dual methods for probabilistic optimization problems.
- A constraint sampling approach for multi-stage robust optimization
- Randomized Strategies for Probabilistic Solutions of Uncertain Feasibility and Optimization Problems
- Optimization models with probabilistic constraints
- Hölder and Lipschitz stability of solution sets in programs with probabilistic constraints
- Interval predictor models: identification and reliability
- New sampling techniques for calculation of Dirichlet probabilities
- APPLICATION OF E. HELLY'S THEOREM TO CONVEX PROGRAMMING, PROBLEMS OF BEST APPROXIMATION AND RELATED QUESTIONS
- Evolutionary Stochastic Portfolio Optimization
Cited In (18)
- On Conditional Risk Assessments in Scenario Optimization
- Risk and complexity in scenario optimization
- Optimal disturbance compensation for constrained linear systems operating in stationary conditions: a scenario-based approach
- A theory of the risk for empirical CVaR with application to portfolio selection
- Identifying effective scenarios in distributionally robust stochastic programs with total variation distance
- On the quantification of aleatory and epistemic uncertainty using sliced-normal distributions
- Consistency of the scenario approach
- Ergodic approach to robust optimization and infinite programming problems
- Expected shortfall: heuristics and certificates
- Redundancy implies robustness for bang-bang strategies
- Probabilistic feasibility guarantees for convex scenario programs with an arbitrary number of discarded constraints
- On a class of interval predictor models with universal reliability
- Title not available (Why is that?)
- A Bayesian risk approach to data-driven stochastic optimization: formulations and asymptotics
- The wait-and-judge scenario approach applied to antenna array design
- Non-convex scenario optimization
- A randomized relaxation method to ensure feasibility in stochastic control of linear systems subject to state and input constraints
- Wait-and-judge scenario optimization
Uses Software
This page was built for publication: Scenario MIN-MAX optimization and the risk of empirical costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3449574)
