Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs

DOI10.1137/17M1140601zbMATH Open1411.90241WikidataQ128428621 ScholiaQ128428621MaRDI QIDQ4624928FDOQ4624928

Authors: Francesca Maggioni, Georg Ch. Pflug 

Publication date: 20 February 2019

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

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zbMATH Keywords

first-order stochastic dominancerisk measuresboundsmultistage stochastic programsconvex stochastic dominancebarycentric approximations

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Stochastic programming (90C15)

Cites Work

• Comparison methods for stochastic models and risks
• Version-independence and nested distributions in multistage stochastic optimization
• Aggregation and discretization in multistage stochastic programming
• Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
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• The value of the stochastic solution in multistage problems
• The value of the stochastic solution in stochastic linear programs with fixed recourse
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• Inequalities for stochastic linear programming problems
• Tight Bounds for Stochastic Convex Programs
• Multistage stochastic optimization
• Bounds in multistage linear stochastic programming
• A hierarchy of bounds for stochastic mixed-integer programs
• Multi-Period Stochastic Dominance
• Barycentric scenario trees in convex multistage stochastic programming
• Generalized bounds for convex multistage stochastic programs.
• Monotonic bounds in multistage mixed-integer stochastic programming
• Bounds and approximations for multistage stochastic programs
• Bound-based approximations in multistage stochastic programming: nonanticipativity aggregation
• Barycentric bounds in stochastic programming: theory and application
• A scalable bounding method for multistage stochastic programs
• Second-Order Lower Bounds on the Expectation of a Convex Function
• Title not available (Why is that?)
• More bounds on the expectation of a convex function of a random variable

Cited In (15)

• On the number of stages in multistage stochastic programs
• Two-stage stochastic standard quadratic optimization
• Title not available (Why is that?)
• The value of the right distribution in stochastic programming with application to a Newsvendor problem
• Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
• On the safe side of stochastic programming: bounds and approximations
• Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
• Connection between higher order measures of risk and stochastic dominance
• The nested Sinkhorn divergence to learn the nested distance
• Bounds in multi-horizon stochastic programs
• Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
• A rolling horizon approach for a multi-stage stochastic fixed-charge transportation problem with transshipment
• Optimal chance-constrained pension fund management through dynamic stochastic control
• Title not available (Why is that?)
• Stochastic forestry planning under market and growth uncertainty

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