Random variables, monotone relations, and convex analysis
DOI10.1007/S10107-014-0801-1zbMATH Open1330.60009OpenAlexW2024233896MaRDI QIDQ484142FDOQ484142
R. T. Rockafellar, Johannes O. Royset
Publication date: 18 December 2014
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-014-0801-1
Recommendations
quantilesrandom variablesstochastic dominancestochastic optimizationconvex analysismeasures of riskvalue-at-riskconvergence in distributionconditional-value-at-riskco-monotonicityconjugate dualitysuper distributionssuper expectationssuperquantiles
Convex programming (90C25) Stochastic programming (90C15) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Convex functions and convex programs in convex geometry (52A41) Foundations of probability theory (60A99)
Cites Work
- Regression Quantiles
- Coherent measures of risk
- Title not available (Why is that?)
- Variational Analysis
- Convex Analysis
- Title not available (Why is that?)
- Comparison methods for stochastic models and risks
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Title not available (Why is that?)
- Optimization with Stochastic Dominance Constraints
- Dual Stochastic Dominance and Related Mean-Risk Models
- Stochastic finance. An introduction in discrete time
- On consistency of stochastic dominance and mean-semideviation models
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Title not available (Why is that?)
- Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse
- Monotone networks
- Risk Tuning with Generalized Linear Regression
- Title not available (Why is that?)
- Common Mathematical Foundations of Expected Utility and Dual Utility Theories
Cited In (25)
- Efficient and robust optimal design for quantile regression based on linear programming
- Tractable Relaxations of Composite Functions
- Reliability optimization in plant production
- Set-convergence and its application: a tutorial
- Application of buffered probability of exceedance in reliability optimization problems
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Chance-constrained programs with convex underlying functions: a bilevel convex optimization perspective
- CVaR distance between univariate probability distributions and approximation problems
- Superquantile/CVaR risk measures: second-order theory
- Regression analysis: likelihood, error and entropy
- Spectral risk measures: the risk quadrangle and optimal approximation
- Epi-convergence: the Moreau envelope and generalized linear-quadratic functions
- Constrained Monotone Mean-Variance Problem with Random Coefficients
- Symbolic computation with monotone operators
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Bregman superquantiles. Estimation methods and applications
- Buffered and reduced multidimensional distribution functions and their application in optimization
- Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- Title not available (Why is that?)
- Superquantiles at work: machine learning applications and efficient subgradient computation
- Yosida approximations of the cumulative distribution function and applications in survival analysis
- Minimizing buffered probability of exceedance by progressive hedging
- Risk and Utility in the Duality Framework of Convex Analysis
- Variational Theory for Optimization under Stochastic Ambiguity
This page was built for publication: Random variables, monotone relations, and convex analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q484142)
