Version-independence and nested distributions in multistage stochastic optimization

DOI10.1137/080718401zbMATH Open1198.90307OpenAlexW2119407575WikidataQ59255007 ScholiaQ59255007MaRDI QIDQ3586141FDOQ3586141

Authors:

Publication date: 6 September 2010

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080718401

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zbMATH Keywords

multistage stochastic optimizationdistances for stochastic processesin-distribution settingtree processes

Mathematics Subject Classification ID

Stochastic programming (90C15) General theory of stochastic processes (60G07)

Cited In (38)

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• Adapted Wasserstein distances and stability in mathematical finance
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• Nested-Batch-Mode Learning and Stochastic Optimization with An Application to Sequential MultiStage Testing in Materials Science
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• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
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• A note on uniform exponential convergence of sample average approximation of random functions
• Designs in nonlinear regression by stochastic minimization of functionals of the mean square error matrix
• Causal transport in discrete time and applications
• Computational methods for adapted optimal transport

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