The minimax approach to stochastic programming and an illustrative application
From MaRDI portal
Publication:4726044
Recommendations
- scientific article; zbMATH DE number 4170645
- A Min-Max-Max-Min Approach to Solving a Stochastic Programming Problem with Simple Recourse
- On a Class of Minimax Stochastic Programs
- Applying the minimax criterion in stochastic recourse programs
- Minimax and risk averse multistage stochastic programming
- Stochastic methods for solving minimax problems
- scientific article; zbMATH DE number 1163792
- Asymptotics of minimax stochastic programs
- K-minimax stochastic programming problems
- Minimax analysis of stochastic problems
Cites work
- scientific article; zbMATH DE number 3643023 (Why is no real title available?)
- scientific article; zbMATH DE number 3668335 (Why is no real title available?)
- scientific article; zbMATH DE number 3670182 (Why is no real title available?)
- scientific article; zbMATH DE number 3803176 (Why is no real title available?)
- Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
- Computational Algorithms for Convex Stochastic Programs with Simple Recourse
- More bounds on the expectation of a convex function of a random variable
- Programming Under Uncertainty: The Equivalent Convex Program
- Restricted Bayes Strategies for Programs with Simple Recourse
- Solving stochastic programming problems with recourse including error bounds
- Solving stochastic programs with simple recourse
- The General Moment Problem, A Geometric Approach
Cited in
(61)- Distributionally robust optimization with infinitely constrained ambiguity sets
- Robust portfolio selection based on a multi-stage scenario tree
- Models and algorithms for distributionally robust least squares problems
- Robust sample average approximation
- Deterministic approximations of probability inequalities
- A model of distributionally robust two-stage stochastic convex programming with linear recourse
- Robust decision making using a general utility set
- Uncertainties in minimax stochastic programs
- Robust two-stage stochastic linear optimization with risk aversion
- Envelope theorems for multistage linear stochastic optimization
- On distributionally robust multiperiod stochastic optimization
- Decomposition algorithm for distributionally robust optimization using Wasserstein metric with an application to a class of regression models
- Distributionally robust chance constraints for non-linear uncertainties
- A framework for optimization under ambiguity
- Data-driven distributionally robust risk parity portfolio optimization
- Distributionally robust single machine scheduling with risk aversion
- A class of two-stage distributionally robust games
- Two-stage stochastic linear programs with incomplete information on uncertainty
- Applications of stochastic programming under incomplete information
- Distributionally Robust Inventory Control When Demand Is a Martingale
- Cost/risk balanced management of scarce resources using stochastic programming
- On the safe side of stochastic programming: bounds and approximations
- Stochastic programming approach to optimization under uncertainty
- scientific article; zbMATH DE number 6747345 (Why is no real title available?)
- scientific article; zbMATH DE number 4170645 (Why is no real title available?)
- Distributionally robust workforce scheduling in call centres with uncertain arrival rates
- Game Theoretical Approach for Reliable Enhanced Indexation
- Distributionally robust Weber problem with uncertain demand
- Distributionally risk‐receptive and risk‐averse network interdiction problems with general ambiguity set
- Stochastic methods for solving minimax problems
- A composite risk measure framework for decision making under uncertainty
- Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis
- On solving two-stage distributionally robust disjunctive programs with a general ambiguity set
- An upper bound for SLP using first and total second moments
- Asymptotics of minimax stochastic programs
- Convergence analysis for distributionally robust optimization and equilibrium problems
- A data-driven distributionally robust bound on the expected optimal value of uncertain mixed 0-1 linear programming
- A semi-infinite programming approach to two-stage stochastic linear programs with high-order moment constraints
- Ambiguous chance constrained problems and robust optimization
- Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
- scientific article; zbMATH DE number 3974742 (Why is no real title available?)
- Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
- Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs
- Distributionally robust multi-item newsvendor problems with multimodal demand distributions
- Worst-case distribution analysis of stochastic programs
- Likelihood robust optimization for data-driven problems
- Stochastic decomposition method for two-stage distributionally robust linear optimization
- On optimization of stochastic max-min-plus-scaling systems -- an approximation approach
- Incorporating model uncertainty into optimal insurance contract design
- scientific article; zbMATH DE number 3849019 (Why is no real title available?)
- On safe tractable approximations of chance constraints
- K-minimax stochastic programming problems
- Distributionally robust optimization. A review on theory and applications
- Safe, learning-based MPC for highway driving under Lane-change uncertainty: a distributionally robust approach
- Applying the minimax criterion in stochastic recourse programs
- An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures
- Stochastic modelling and optimization for environmental management
- Stability in stochastic programming with recourse-estimated parameters
- Applying the minimum risk criterion in stochastic recourse programs
- Frameworks and results in distributionally robust optimization
- A stochastic improvement method for stochastic programming
This page was built for publication: The minimax approach to stochastic programming and an illustrative application
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4726044)