A scenario aggregation algorithm for the solution of stochastic dynamic minimax problems
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Publication:4892367
DOI10.1080/17442509508833994zbMath0857.90146OpenAlexW2035358473MaRDI QIDQ4892367
Michèle Breton, Saeb El Hachem
Publication date: 11 March 1997
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509508833994
Stochastic programming (90C15) Stochastic games, stochastic differential games (91A15) Markov and semi-Markov decision processes (90C40)
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Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs ⋮ Applying the minimax criterion in stochastic recourse programs ⋮ Convergence Analysis for Distributionally Robust Optimization and Equilibrium Problems ⋮ Quantitative Stability Analysis for Distributionally Robust Optimization with Moment Constraints ⋮ Distributionally robust optimization. A review on theory and applications
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