Distributionally Robust Stochastic Programming

DOI10.1137/16M1058297zbMath1373.90089OpenAlexW2766966154WikidataQ92553665 ScholiaQ92553665MaRDI QIDQ4588857

Alexander Shapiro

Publication date: 3 November 2017

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

Full work available at URL: https://doi.org/10.1137/16m1058297

zbMATH Keywords

coherent risk measuresWasserstein distance\(\phi\)-divergencesample average approximationlaw invarianceambiguous chance constraints

Mathematics Subject Classification ID

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Cites Work

• Data-driven chance constrained stochastic program
• Asymptotic analysis of stochastic programs
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Entropic value-at-risk: a new coherent risk measure
• Coherent Measures of Risk
• Multistage Stochastic Optimization
• Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
• Variational Analysis
• On Choosing and Bounding Probability Metrics
• Overlapping Batches for the Assessment of Solution Quality in Stochastic Programs
• Consistency of Sample Estimates of Risk Averse Stochastic Programs
• Markov Processes and the H-Theorem
• A Remark on Nonatomic Measures
• Stochastic finance. An introduction in discrete time
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