Minimax analysis of stochastic problems
From MaRDI portal
Publication:4709737
DOI10.1080/1055678021000034008zbMath1040.90030OpenAlexW2066503680WikidataQ93439751 ScholiaQ93439751MaRDI QIDQ4709737
Anton J. Kleywegt, Alexander Shapiro
Publication date: 2002
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1055678021000034008
Minimax procedures in statistical decision theory (62C20) Minimax problems in mathematical programming (90C47) Stochastic programming (90C15)
Related Items
On the Heavy-Tail Behavior of the Distributionally Robust Newsvendor, A distributionally robust joint chance constrained optimization model for the dynamic network design problem under demand uncertainty, An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information, Finding Minimum Volume Circumscribing Ellipsoids Using Generalized Copositive Programming, Data-driven distributionally robust risk parity portfolio optimization, Frameworks and results in distributionally robust optimization, An Approximation Scheme for Distributionally Robust PDE-Constrained Optimization, Online learning based risk-averse stochastic MPC of constrained linear uncertain systems, Incorporating model uncertainty into optimal insurance contract design, Stochastic Decomposition Method for Two-Stage Distributionally Robust Linear Optimization, Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs, Necessary and sufficient conditions for Pareto efficiency in robust multiobjective optimization, A framework for optimization under ambiguity, Robust and distributionally robust optimization models for linear support vector machine, Sharing the value‐at‐risk under distributional ambiguity, Explainable subgradient tree boosting for prescriptive analytics in operations management, Minimax decision rules for planning under uncertainty: drawbacks and remedies, Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models, Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball, Distributionally robust joint chance constraints with second-order moment information, A Measure Approximation for Distributionally Robust PDE-Constrained Optimization Problems, An Approximation Scheme for Distributionally Robust Nonlinear Optimization, Epi-Regularization of Risk Measures, Optimal insurance under maxmin expected utility, Two-stage distributionally robust optimization model for warehousing-transportation problem under uncertain environment, Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets, Ambiguous risk constraints with moment and unimodality information, Distributionally robust expectation inequalities for structured distributions, An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures, On Deterministic Reformulations of Distributionally Robust Joint Chance Constrained Optimization Problems, On two-stage convex chance constrained problems, Multi-echelon supply chains with lead times and uncertain demands. A lot-sizing formulation and solutions, Stochastic global optimization using tangent minorants for Lipschitz functions, Distributionally robust chance constrained problems under general moments information, Unnamed Item, Robust two-stage stochastic linear optimization with risk aversion, A generalized optimization method for night vision devices design considering stochastic external surveillance conditions, The value of the right distribution in stochastic programming with application to a Newsvendor problem, Applying the minimax criterion in stochastic recourse programs, Ambiguous chance constrained problems and robust optimization, Worst-case distribution analysis of stochastic programs, Gain-loss pricing under ambiguity of measure, Likelihood robust optimization for data-driven problems, Stochastic programming approach to optimization under uncertainty, Optimization of chance constraint programming with sum-of-fractional objectives â an application to assembled printed circuit board problem, Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems, Robust assortment optimization using worst-case CVaR under the multinomial logit model, Robust Defibrillator Deployment Under Cardiac Arrest Location Uncertainty via Row-and-Column Generation, Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information, Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls, Adjustable Robust Optimization via Fourier–Motzkin Elimination, A data-driven approach for a class of stochastic dynamic optimization problems, Risk-averse stochastic programming and distributionally robust optimization via operator splitting, Distributionally robust optimization. A review on theory and applications, Uncertainties in minimax stochastic programs, Uncertainty quantification of the 4th kind; optimal posterior accuracy-uncertainty tradeoff with the minimum enclosing ball, Solution Approaches to Linear Fractional Programming and Its Stochastic Generalizations Using Second Order Cone Approximations, Distributionally robust resource planning under binomial demand intakes, A distributionally robust perspective on uncertainty quantification and chance constrained programming, On distributionally robust multiperiod stochastic optimization, Optimized Bonferroni approximations of distributionally robust joint chance constraints, Asymptotic behavior of solutions: an application to stochastic NLP, Generalized Gauss inequalities via semidefinite programming
Cites Work
- Unnamed Item
- Unnamed Item
- A numerical method for solving stochastic programming problems with moment constraints on a distribution function
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- On sharpness of Tchebycheff-type inequalities
- Moments of non-negative mass
- Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
- Introduction to Stochastic Programming
- The General Moment Problem, A Geometric Approach
- Convex Analysis
