A scenario aggregation algorithm for the solution of stochastic dynamic minimax problems

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

zbMATH Keywords

convex analysisprogressive hedgingdynamic minimax problemscenario aggregation algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic games, stochastic differential games (91A15) Markov and semi-Markov decision processes (90C40)

Related Items (5)

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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